Optimal risk control and dividend policies under excess of loss reinsurance

DOI10.1080/17442500500331201zbMath1076.93046MaRDI 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 solution; stochastic control; insurance; integro-differential Hamilton-Jacobi-Bellman equation; jump diffusion; Howard algorithm

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

65N06: Finite difference methods for boundary value problems involving PDEs

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

Related Items

Optimal dividend strategies for a risk process under force of interest, OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL

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