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

Cites Work

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Controlling risk exposure and dividends payout schemes: Insurance company example
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Viscosity Solutions of Hamilton-Jacobi Equations
Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
Optimal dividend strategies for a risk process under force of interest
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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
Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
Portfolio optimisation with strictly positive transaction costs and impulse control
Optimal dividend distribution under Markov regime switching
Some applications of impulse control in mathematical finance
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Optimal Control with State-Space Constraint. II
Ruin theory for a Markov regime-switching model under a threshold dividend strategy
Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility
Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching
Optimal Reinsurance and Dividend Strategies Under the Markov-Modulated Insurance Risk Model
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

Cited In (22)

Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems
Optimal Impulse Control of Dynamical Systems
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
Optimal dividends under Markov-modulated bankruptcy level
Linear programming approach to optimal impulse control problems with functional constraints
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
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
Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
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 debt ratio and dividend payment strategies with reinsurance
Optimal debt ratio and consumption strategies in financial crisis
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
OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH
Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
On the bail-out optimal dividend problem

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