The optimal policy for insurance company under consideration of internal competition and the time value of ruin

DOI10.1007/S10255-014-0422-8MaRDI QIDQ477513zbMATH OpenOpenAlexFDO

Authors Wei Liu, Yijun Hu

Publication date 9 December 2014

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-014-0422-8

zbMATH Keywords

proportional reinsurancedividend paymentinternal competitionHamilton-Jacobi-Bellman (HJB) equation

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20)

Recommendations

• Optimal proportional reinsurance and dividend payments with transaction costs and internal competition
• A diffusion model for optimal dividend payment and risk control for a firm under consideration of the time value of ruin
• Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
• Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
• The optimal strategy for an insurance company under the influence of the terminal value

Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• A constrained non-linear regular-singular stochastic control problem, with applications.
• Controlled diffusion models for optimal dividend pay-out
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Dividend maximization under consideration of the time value of ruin
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal risk and dividend control for a company with a debt liability
• Optimal risk and dividend distribution control models for an insurance company
• Some risk management problems for firms with internal competition and debt
• Stochastic differential equations with reflecting boundary conditions

Cited in

(3)

• Optimal proportional reinsurance and dividend payments with transaction costs and internal competition
• Maximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' process
• Optimal risk management for enterprises with internal competition

This page was built for publication: The optimal policy for insurance company under consideration of internal competition and the time value of ruin

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q477513)