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

DOI10.1007/s10255-014-0422-8zbMath1303.91092MaRDI QIDQ477513

Wei Liu, Hu, Yijun

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 reinsurance; dividend payment; internal competition; Hamilton-Jacobi-Bellman (HJB) equation

Mathematics Subject Classification ID

90C39: Dynamic programming

93E20: Optimal stochastic control

Cites Work

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