Optimal debt ratio and dividend payment strategies with reinsurance
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Publication:495502
DOI10.1016/J.INSMATHECO.2015.07.005zbMATH Open1348.91156OpenAlexW1010567200MaRDI QIDQ495502FDOQ495502
Hailiang Yang, G. Yin, Zhuo Jin
Publication date: 14 September 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.07.005
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Cites Work
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- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Stochastic Optimal Control and the U.S. Financial Debt Crisis
- Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
Cited In (10)
- Asset-liability management with state-dependent utility in the regime-switching market
- Optimal debt ratio and dividend strategies for an insurer under a regime-switching model
- A perturbation approach to optimal investment, liability ratio, and dividend strategies
- On the dividends of the risk model with Markovian barrier
- A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes
- Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
- Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
- Optimal investment with transaction costs and dividends for an insurer
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
- Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
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