Optimal dividend strategy for an insurance group with contagious default risk
From MaRDI portal
Publication:5003355
DOI10.1080/03461238.2020.1845231zbMath1470.91229arXiv1909.09511OpenAlexW3104699516MaRDI QIDQ5003355
No author found.
Publication date: 21 July 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.09511
optimal dividendinsurance groupcredit default contagiondefault-state-modulated barriersrecursive system of HJBVIs
Related Items (7)
Bayesian optimal investment and reinsurance with dependent financial and insurance risks ⋮ Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence ⋮ Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk ⋮ A perturbation approach to optimal investment, liability ratio, and dividend strategies ⋮ On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy ⋮ On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- De Finetti's optimal dividends problem with an affine penalty function at ruin
- Optimal investment policy and dividend payment strategy in an insurance company
- Controlled diffusion models for optimal dividend pay-out
- On the bail-out optimal dividend problem
- Credit risk model with contagious default dependencies affected by macro-economic condition
- On the optimal dividend problem for a spectrally negative Lévy process
- Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
- OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK
- An Optimal Dividend and Investment Control Problem under Debt Constraints
- Inhomogeneous Financial Networks and Contagious Links
- User’s guide to viscosity solutions of second order partial differential equations
- A diffusion approximation for the ruin function of a risk process with compounding assets
- A class of approximations of ruin probabilities
- A two-dimensional dividend problem for collaborating companies and an optimal stopping problem
- REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL
- Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching
- Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
- Strategies for Dividend Distribution: A Review
- On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models
- Risk-Sensitive Asset Management and Cascading Defaults
- Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model
- Optimal dividend strategies for two collaborating insurance companies
- Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes
- Diffusion approximations in collective risk theory
- Games of Economic Survival with Discrete- and Continuous-Income Processes
- Optimal Dividends
- Credit portfolio selection with decaying contagion intensities
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
This page was built for publication: Optimal dividend strategy for an insurance group with contagious default risk