Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
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Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- Applied stochastic control of jump diffusions.
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- Controlling risk exposure and dividends payout schemes: Insurance company example
- Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
- Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
- Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Optimal Control with State-Space Constraint I
- Optimal Control with State-Space Constraint. II
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Optimal dividend distribution under Markov regime switching
- Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
- Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
- Optimal dividend strategies for a risk process under force of interest
- Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
- Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal threshold dividend strategies under the compound Poisson model with regime switching
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Risk theory in a Markovian environment
- Ruin theory for a Markov regime-switching model under a threshold dividend strategy
- Some applications of impulse control in mathematical finance
- Viscosity Solutions of Hamilton-Jacobi Equations
Cited in
(27)- Optimal Impulse Control of Dynamical Systems
- Optimal dividends under Markov-modulated bankruptcy level
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- Linear programming approach to optimal impulse control problems with functional constraints
- Optimal impulse and regular control strategies on proportional reinsurance model
- On the equivalence of the integral and differential Bellman equations in impulse control problems
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
- Impulse control of proportional reinsurance with constraints
- Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach
- Optimal control of the risk process in a regime-switching environment
- Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
- Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
- A maximum principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems
- Optimal dividend payment and regime switching in a compound Poisson risk model
- Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
- Optimal debt ratio and dividend payment strategies with reinsurance
- Optimal debt ratio and consumption strategies in financial crisis
- Duality in optimal impulse control
- Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching
- Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
- Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
- Expected discounted dividends in a discrete semi-Markov risk model
- Dividend optimization for regime-switching general diffusions
- Optimal singular dividend problem under the Sparre Andersen model
- On the bail-out optimal dividend problem
- Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
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