OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
From MaRDI portal
Publication:5358076
DOI10.1017/S0269964815000352zbMath1414.91220MaRDI QIDQ5358076
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)
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)
Related Items
Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance, Optimal insurance risk control with multiple reinsurers, A note on optimal insurance risk control with multiple reinsurers, Stochastic differential reinsurance games with capital injections, Set-valued Haezendonck-Goovaerts risk measure and its properties, Optimal stop-loss reinsurance with joint utility constraints, Continuous-time optimal reinsurance strategy with nontrivial curved structures
Cites Work
- Unnamed Item
- Impulse control of proportional reinsurance with constraints
- Optimal non-proportional reinsurance control
- Aspects of risk theory
- Controlled diffusion models for optimal dividend pay-out
- Optimal dynamic reinsurance policies for large insurance portfolios
- Optimal dividend payouts for diffusions with solvency constraints
- On minimizing the ruin probability by investment and reinsurance
- Optimal risk and dividend distribution control models for an insurance company
- Optimal dividends with debts and nonlinear insurance risk processes
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
- Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance
- Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
- Impulse Control of Brownian Motion: The Constrained Average Cost Case
- Optimal Risk Control for The Excess of Loss Reinsurance Policies
- On the Optimal Stochastic Impulse Control of Linear Diffusions
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
- Optimal impulse control with variance premium principle
- Optimal Dynamic Risk Control for Insurers with State-Dependent Income
- Optimal dividend strategy with transaction costs for an upward jump model
- Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Games of Economic Survival with Discrete- and Continuous-Income Processes
- Optimal Dividends
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
