Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching

DOI10.1007/s10957-010-9726-xzbMath1203.91118OpenAlexW2070004332MaRDI QIDQ613607

Jiaqin Wei, Hailiang Yang, Rong-Ming Wang

Publication date: 21 December 2010

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-010-9726-x

zbMATH Keywords

viscosity solutionregime switchingproportional reinsurancequasi-variational inequalitydividend strategy

Mathematics Subject Classification ID

Related Items (22)

On the bail-out optimal dividend problem ⋮ Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation ⋮ Optimal dividends under Markov-modulated bankruptcy level ⋮ Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching ⋮ Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model ⋮ OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH ⋮ Optimal debt ratio and dividend payment strategies with reinsurance ⋮ Optimal debt ratio and consumption strategies in financial crisis ⋮ Linear programming approach to optimal impulse control problems with functional constraints ⋮ Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest ⋮ Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function ⋮ A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems ⋮ Expected discounted dividends in a discrete semi-Markov risk model ⋮ Dividend optimization for regime-switching general diffusions ⋮ Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems ⋮ Optimal singular dividend problem under the Sparre Andersen model ⋮ Optimal Impulse Control of Dynamical Systems ⋮ Duality in optimal impulse control ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models ⋮ On the equivalence of the integral and differential Bellman equations in impulse control problems

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