OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
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Publication:5358076
DOI10.1017/S0269964815000352zbMATH Open1414.91220MaRDI QIDQ5358076FDOQ5358076
Authors: Hui Meng, Ming Zhou, Tak Kuen Siu 
Publication date: 19 September 2017
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
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variance premium principlediscounted dividend paymentsexpected premium principleoptimal dividend/reinsurance problem
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Controlled diffusion models for optimal dividend pay-out
- Optimal dynamic reinsurance policies for large insurance portfolios
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- Optimal Dividends
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- Aspects of risk theory
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- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Impulse control of proportional reinsurance with constraints
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
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- Optimal risk and dividend distribution control models for an insurance company
- Optimal dividend payouts for diffusions with solvency constraints
- Games of Economic Survival with Discrete- and Continuous-Income Processes
- Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
- Impulse Control of Brownian Motion: The Constrained Average Cost Case
- On the Optimal Stochastic Impulse Control of Linear Diffusions
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Cited In (18)
- Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
- Optimal proportional reinsurance with constant dividend barrier
- Set-valued Haezendonck-Goovaerts risk measure and its properties
- Optimal impulse control with variance premium principle
- Optimal dividend, capital injection and reinsurance strategies with variance premium principle
- Optimal insurance risk control with multiple reinsurers
- Optimal stop-loss reinsurance with joint utility constraints
- Stochastic differential reinsurance games with capital injections
- Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
- Continuous-time optimal reinsurance strategy with nontrivial curved structures
- Optimal combined dividend and reinsurance policies under interest rate in Lévy markets
- Optimal dividend problem with a nonlinear regular-singular stochastic control
- Optimal dividend and reinsurance in the presence of two reinsurers
- Optimal dividend and risk control strategies for an insurer with two groups of reinsurers
- Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
- Optimal dividend payments for a two-dimensional insurance risk 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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