Optimal debt ratio and dividend payment strategies with reinsurance
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Cites work
- An Application of Stochastic Control Theory to Financial Economics
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- Controlled diffusion models for optimal dividend pay-out
- Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
- Nonlinear elliptic boundary-value problems in unbounded domains
- Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
- On optimal dividend strategies in the compound Poisson model
- Optimal Dividends
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Optimal dividends with debts and nonlinear insurance risk processes
- Optimal mixed impulse-equity insurance control problem with reinsurance
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
- Stochastic differential equations. An introduction with applications.
- Stochastic optimal control and the U.S. financial debt crisis
Cited in
(12)- 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 dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
- 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
- Optimal control problem for an insurance surplus model with debt liability
- Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
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