Optimal dividend strategy for an insurance group with contagious default risk
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Publication:5003355
DOI10.1080/03461238.2020.1845231zbMath1470.91229arXiv1909.09511OpenAlexW3104699516MaRDI QIDQ5003355
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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
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