Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon

DOI10.1287/moor.2022.1276arXiv2008.00391MaRDI QIDQ6199252

Chonghu Guan, Zuo Quan Xu, Rui Zhou

Publication date: 23 February 2024

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.00391

zbMATH Keywords

dynamic programmingfree boundary problemstochastic optimal controloptimal reinsurancemixed singular-classical stochastic controloptimal dividend payout

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Free boundary problems for PDEs (35R35) Actuarial mathematics (91G05)

Related Items (1)

Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory

This page was built for publication: Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon