Optimal risk control and dividend policies under excess of loss reinsurance

DOI10.1080/17442500500331201zbMath1076.93046OpenAlexW1969991893MaRDI QIDQ5711152

Agnès Sulem, Mohammed Mnif

Publication date: 9 December 2005

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500500331201

zbMATH Keywords

viscosity solutionstochastic controlinsuranceintegro-differential Hamilton-Jacobi-Bellman equationjump diffusionHoward algorithm

Mathematics Subject Classification ID

Related Items (9)

The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model ⋮ OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ Optimal dividend strategies for a risk process under force of interest ⋮ Optimal consumption under deterministic income ⋮ An optimal reinsurance problem in the Cramér-Lundberg model ⋮ Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs ⋮ OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure

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