Optimal reinsurance and dividend under model uncertainty
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Publication:6131024
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Cites work
- scientific article; zbMATH DE number 3189754 (Why is no real title available?)
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- A discussion of parameter and model uncertainty in insurance
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- Controlled Markov processes and viscosity solutions
- Controlled diffusion models for optimal dividend pay-out
- Controlling risk exposure and dividends payout schemes: Insurance company example
- Discounted linear exponential quadratic Gaussian control
- On optimal dividend strategies in the compound Poisson model
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal dividend and reinsurance in the presence of two reinsurers
- 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 excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
- Optimal financing and dividend control of the insurance company with proportional reinsurance policy
- Optimal investment and reinsurance of an insurer with model uncertainty
- Optimal investment of an insurer with regime-switching and risk constraint
- Optimal mixed impulse-equity insurance control problem with reinsurance
- Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Stochastic Differential Utility
- Stochastic calculus and applications
- The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
- User’s guide to viscosity solutions of second order partial differential equations
- Viscosity Solutions of Hamilton-Jacobi Equations
- Worst-case-optimal dynamic reinsurance for large claims
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