scientific article; zbMATH DE number 5223066
From MaRDI portal
Publication:5434181
zbMath1133.93002MaRDI QIDQ5434181
Publication date: 3 January 2008
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Processes with independent increments; Lévy processes (60G51) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Stochastic systems in control theory (general) (93E03) Special processes (60Kxx)
Related Items
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ A Constant Interest Risk Model with Tax Payments ⋮ The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process ⋮ Unnamed Item ⋮ Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching ⋮ A Note on Gerber–Shiu Functions with an Application ⋮ A two-dimensional dividend problem for collaborating companies and an optimal stopping problem ⋮ PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS ⋮ Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk ⋮ Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model ⋮ Barrier present value maximization for a diffusion model of insurance surplus ⋮ Optimal dividend policies for piecewise-deterministic compound Poisson risk models ⋮ Risk Theory with Affine Dividend Payment Strategies ⋮ Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ A note on optimal expected utility of dividend payments with proportional reinsurance ⋮ Optimal dividend payout under stochastic discounting ⋮ Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach ⋮ Time-inconsistent view on a dividend problem with penalty ⋮ Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences ⋮ Optimal reinsurance design under solvency constraints ⋮ Optimal reinsurance via BSDEs in a partially observable model with jump clusters ⋮ Optimal singular dividend control with capital injection and affine penalty payment at ruin ⋮ Some optimisation problems in insurance with a terminal distribution constraint ⋮ On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading ⋮ Premium control with reinforcement learning ⋮ Measuring the suboptimality of dividend controls in a Brownian risk model ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications ⋮ Optimal Ratcheting of Dividends in Insurance ⋮ The Theory of Optimal Stochastic Control as Applied to Insurance Underwriting Cycles ⋮ Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES ⋮ De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process ⋮ Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance ⋮ Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate ⋮ Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility ⋮ Portfolio size as function of the premium: modelling and optimization ⋮ Solving a Hamilton–Jacobi–Bellman equation with constraints ⋮ Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs ⋮ Dividend Barrier Strategies in A Renewal Risk Model with Generalized Erlang Interarrival Times ⋮ STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE ⋮ Optimal hedging for fund and insurance managers with partially observable investment flows ⋮ Dividends with tax and capital injection in a spectrally negative Lévy risk model ⋮ Optimal Reinsurance and Dividend Strategies Under the Markov-Modulated Insurance Risk Model ⋮ Bounds for the Ruin Probability of a Discrete-Time Risk Process ⋮ Asymptotic behavior of the processes describing some insurance models ⋮ Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates ⋮ Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model ⋮ Optimal Dividends in the Dual Model with Diffusion ⋮ Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance ⋮ Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest ⋮ Optimal Dividend Payouts Under Jump-Diffusion Risk Processes ⋮ Bayesian Dividend Optimization and Finite Time Ruin Probabilities ⋮ An Optimal Dividend Problem with Capital Injections over a Finite Horizon ⋮ Optimal dividend strategies for two collaborating insurance companies ⋮ Optimal Dividend Problem: Asymptotic Analysis ⋮ Optimal dividend strategy for an insurance group with contagious default risk ⋮ Minimising expected discounted capital injections by reinsurance in a classical risk model ⋮ Dynamic reinsurance in discrete time minimizing the insurer's cost of capital ⋮ Optimal dividend control for a generalized risk model with investment incomes and debit interest ⋮ A note on applications of stochastic ordering to control problems in insurance and finance ⋮ Optimal dividend strategy for the dual model with surplus-dependent expense ⋮ Strategies for Dividend Distribution: A Review ⋮ Exponential bounds of ruin probabilities for non-homogeneous risk models ⋮ On the optimal dividend problem for insurance risk models with surplus-dependent premiums ⋮ A reinsurance and investment game between two insurance companies with the different opinions about some extra information ⋮ Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences ⋮ Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model ⋮ Dividends: from refracting to ratcheting ⋮ Optimal dividend policy in an insurance company with contagious arrivals of claims ⋮ Dividend maximization in a hidden Markov switching model ⋮ Bayesian optimal investment and reinsurance with dependent financial and insurance risks ⋮ On capital injections and dividends with tax in a classical risk model ⋮ Minimisation of penalty payments by investments and reinsurance ⋮ On a class of singular stochastic control problems for reflected diffusions ⋮ Optimal control of capital injections by reinsurance in a diffusion approximation ⋮ 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 ⋮ Risk processes with dependence and premium adjusted to solvency targets ⋮ Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem ⋮ Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model ⋮ Worst-case investment and reinsurance optimization for an insurer under model uncertainty ⋮ Mortality options: the point of view of an insurer ⋮ Constrained Markov decision processes with first passage criteria ⋮ Asymptotically optimal dividend policy for regime-switching compound Poisson models ⋮ Optimal control of investment, premium and deductible for a non-life insurance company ⋮ Generalization of Lundberg's inequality for the case of stock insurance company ⋮ Tail behaviour of the area under a random process, with applications to queueing systems, insurance and percolations ⋮ First passage problems for nonstationary discrete-time stochastic control systems ⋮ Complete discounted cash flow valuation ⋮ Dynamic risk-sharing game and reinsurance contract design ⋮ Optimal risk control and dividend distribution policies for a diffusion model with terminal value ⋮ An optimal consumption problem in finite time with a constraint on the ruin probability ⋮ Optimal securitization of credit portfolios via impulse control ⋮ On optimal dividends with penalty payments in the Cramér-Lundberg model ⋮ Stochastic differential portfolio games for an insurer in a jump-diffusion risk process ⋮ Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model ⋮ Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model ⋮ Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market ⋮ On optimal control of capital injections by reinsurance and investments ⋮ Optimal dividend policies with transaction costs for a class of jump-diffusion processes ⋮ Optimal investment and premium control in a nonlinear diffusion model ⋮ Optimal dividend payments under a time of ruin constraint: exponential claims ⋮ Optimal dividends under a stochastic interest rate ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ Optimal proportional reinsurance and investment with minimum probability of ruin ⋮ Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs ⋮ Control improvement for jump-diffusion processes with applications to finance ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule ⋮ Optimal capital injections and dividends with tax in a risk model in discrete time ⋮ Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes ⋮ A BSDE-based approach for the optimal reinsurance problem under partial information ⋮ Optimality of the threshold dividend strategy for the compound Poisson model ⋮ Stochastic optimization models of actuarial mathematics ⋮ Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates ⋮ Optimising dividends and consumption under an exponential CIR as a discount factor ⋮ Optimal dividends and capital injection under dividend restrictions ⋮ A heavy traffic approach to modeling large life insurance portfolios ⋮ On barrier strategy dividends with Parisian implementation delay for classical surplus processes ⋮ An elementary approach to discrete models of dividend strategies ⋮ Conditional law of risk processes given that ruin occurs ⋮ On optimal investment in a reinsurance context with a point process market model ⋮ Optimal investment under transaction costs for an insurer ⋮ Optimal dividend strategies for a risk process under force of interest ⋮ Gambling for resurrection and the heat equation on a triangle ⋮ A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes ⋮ Dividend optimization for jump-diffusion model with solvency constraints ⋮ The optimal investment, liability and dividends in insurance ⋮ On optimal dividends with exponential and linear penalty payments ⋮ Optimal dividend of compound Poisson process under a stochastic interest rate ⋮ Optimal investment-reinsurance policy with regime switching and value-at-risk constraint ⋮ Finite approximation of the first passage models for discrete-time Markov decision processes with varying discount factors ⋮ Optimal dividend strategies with time-inconsistent preferences ⋮ Optimal consumption under deterministic income ⋮ A numerical approach to optimal dividend policies with capital injections and transaction costs ⋮ Maximizing a robust goal-reaching probability with penalization on ambiguity ⋮ Optimizing venture capital investments in a jump diffusion model ⋮ Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility ⋮ Maximizing the probability of attaining a target prior to extinction ⋮ Systems simulation analysis and optimization of insurance business ⋮ Stochastic optimal control of risk processes with Lipschitz payoff functions ⋮ Optimal dividend strategies in a Cramér-Lundberg model with capital injections ⋮ An optimal reinsurance problem in the Cramér-Lundberg model ⋮ Inequalities for the ruin probability in a controlled discrete-time risk process ⋮ Classical and singular stochastic control for the optimal dividend policy when there is regime switching ⋮ Risk-sensitive dividend problems ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ Revisiting optimal investment strategies of value-maximizing insurance firms ⋮ Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints ⋮ A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme ⋮ Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy ⋮ Optimal payout policy in presence of downside risk ⋮ On a dividend problem with random funding ⋮ Optimal dividend payments for a two-dimensional insurance risk process ⋮ On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications ⋮ Optimal reinsurance and investment in a diffusion model ⋮ Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments ⋮ Robust optimal reinsurance-investment strategy with price jumps and correlated claims ⋮ Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin ⋮ On minimizing the ultimate ruin probability of an insurer by reinsurance ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy ⋮ Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function