Optimal dividend strategies with reinsurance under contagious systemic risk
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Cites work
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- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- Controlled diffusion models for optimal dividend pay-out
- Controlling risk exposure and dividends payout schemes: Insurance company example
- Default clustering in large portfolios: typical events
- Diffusion approximations in collective risk theory
- Handbook on systemic risk
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- Large deviations for a mean field model of systemic risk
- Mean field games and systemic risk
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- Optimal dividend policies with transaction costs for a class of diffusion processes
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- Optimal Dividends
- Optimal investment in credit derivatives portfolio under contagion risk
- Optimal investment under information driven contagious distress
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- Optimal risk and dividend distribution control models for an insurance company
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- Stochastic Pareto-optimal reinsurance policies
- The law of large numbers for self-exciting correlated defaults
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