DOI10.1007/978-1-4939-0995-7zbMath1308.91004OpenAlexW2504710205MaRDI QIDQ5414686
Pablo Azcue, Nora Muler
Publication date: 7 May 2014
Published in: SpringerBriefs in Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4939-0995-7
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis,
Dividends: from refracting to ratcheting,
Dividend maximization in a hidden Markov switching model,
Minimisation of penalty payments by investments and reinsurance,
The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model,
Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums,
Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects,
Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model,
A two-dimensional dividend problem for collaborating companies and an optimal stopping problem,
Risk Theory with Affine Dividend Payment Strategies,
Optimal Ratcheting of Dividends in a Brownian Risk Model,
Optimal multidimensional reinsurance policies under a common shock dependency structure,
On optimal dividends with penalty payments in the Cramér-Lundberg model,
Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model,
Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business,
Optimal singular dividend control with capital injection and affine penalty payment at ruin,
On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications,
Optimal dividends under a drawdown constraint and a curious square-root rule,
Optimal Ratcheting of Dividends in Insurance,
TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems,
Singular stochastic control model for algae growth management in dam downstream,
Gambling for resurrection and the heat equation on a triangle,
On optimal dividends with exponential and linear penalty payments,
An optimal reinsurance problem in the Cramér-Lundberg model,
Dividends with tax and capital injection in a spectrally negative Lévy risk model,
Non-convex Hamilton-Jacobi equations with gradient constraints,
Correction note to: solving a Hamilton–Jacobi–Bellman equation with constraints,
A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme,
Optimal dynamic reinsurance strategies in multidimensional portfolio,
Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model,
MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS,
On a dividend problem with random funding,
Optimal dividend strategies for two collaborating insurance companies,
Optimal dividend payments for a two-dimensional insurance risk process,
Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments,
Dynamic reinsurance in discrete time minimizing the insurer's cost of capital,
Optimal dividend strategy for the dual model with surplus-dependent expense
