The optimal time to merge for two insurance companies

DOI10.1360/N012017-00075MaRDI QIDQ5064002zbMATH OpenWikidataFDO

Authors Lihua Bai, Yanan Li, Junyi Guo

Publication date 21 March 2022

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

Full work available at URL https://doi.org/10.1360/N012017-00075

zbMATH Keywords

Hamilton-Jacob-Bellman equationimplicit function theoremoptimal dividendoptimal stopping theoremoptimal time to merge

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial mathematics (91G05)

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Cited in

(3)

• On the merger of two companies
• The optimal merging problem for two first-line insurers with investment and reinsurance policies
• Optimal excess-of-loss reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

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