Optimal reinsurance and dividend under model uncertainty
From MaRDI portal
Publication:6131024
DOI10.1007/S11424-023-1237-6OpenAlexW4321352326MaRDI QIDQ6131024FDOQ6131024
Author name not available (Why is that?)
Publication date: 3 April 2024
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-023-1237-6
Actuarial mathematics (91G05) Dynamic programming in optimal control and differential games (49L20) Hamilton-Jacobi equations in optimal control and differential games (49L12)
Cites Work
- Title not available (Why is that?)
- Controlled diffusion models for optimal dividend pay-out
- Controlled Markov processes and viscosity solutions
- Controlling risk exposure and dividends payout schemes: Insurance company example
- Viscosity Solutions of Hamilton-Jacobi Equations
- Stochastic Differential Utility
- User’s guide to viscosity solutions of second order partial differential equations
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- On Optimal Dividend Strategies In The Compound Poisson Model
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- A discussion of parameter and model uncertainty in insurance
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Discounted linear exponential quadratic Gaussian control
- Optimal investment and reinsurance of an insurer with model uncertainty
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance
- Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- Worst-case-optimal dynamic reinsurance for large claims
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Optimal dividend and reinsurance in the presence of two reinsurers
- Optimal Reinsurance and Dividend Strategies Under the Markov-Modulated Insurance Risk Model
- The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
- Optimal financing and dividend control of the insurance company with proportional reinsurance policy
- Optimal dividend problem with a nonlinear regular-singular stochastic control
- Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
- Optimal investment of an insurer with regime-switching and risk constraint
- Stochastic Calculus and Applications
Cited In (1)
This page was built for publication: Optimal reinsurance and dividend under model uncertainty
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6131024)
