Optimal impulse control with variance premium principle

DOI10.1360/012012-618zbMATH Open1488.91097OpenAlexW2355415170WikidataQ127335108 ScholiaQ127335108MaRDI QIDQ5017883FDOQ5017883

Authors: Hui Meng 

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012012-618

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zbMATH Keywords

fixed transaction costreinsurance strategyvariance premium principleimpulse dividend

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Impulsive control/observation systems (93C27)

Cited In (11)

• Optimal impulse and regular control strategies on proportional reinsurance model
• Optimal insurance risk control with multiple reinsurers
• Optimal impulse and regular control strategies for proportional reinsurance problem
• OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
• Impulse control of proportional reinsurance with constraints
• Premium control with reinforcement learning
• Continuous-time optimal reinsurance strategy with nontrivial curved structures
• Optimal Impulse Control When Control Actions Have Random Consequences
• Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
• A note on optimal insurance risk control with multiple reinsurers
• Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle

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