Impulse control of proportional reinsurance with constraints

DOI10.1155/2011/190603MaRDI QIDQ638026zbMATH OpenOpenAlexWikidataFDO

Authors Hui Meng, Tak Kuen Siu

Publication date 8 September 2011

Published in International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2011/190603

zbMATH Keywords

proportional reinsuranceproportional transaction costsfixed transaction costsoptimal dividend policyoptimal impulse control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Controlled diffusion models for optimal dividend pay-out
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Impulse Control of Brownian Motion: The Constrained Average Cost Case
• On the Optimal Stochastic Impulse Control of Linear Diffusions
• Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• Optimal dividend payouts for diffusions with solvency constraints
• Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
• Optimality of an \((s,S)\) policy with compound Poisson and diffusion demands: a quasi-variational inequalities approach

Cited in

(16)

• Optimal impulse and regular control strategies on proportional reinsurance model
• Some optimisation problems in insurance with a terminal distribution constraint
• Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
• Optimal insurance risk control with multiple reinsurers
• Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance
• Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
• Optimal impulse and regular control strategies for proportional reinsurance problem
• Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates
• The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
• Optimal dividends with debts and nonlinear insurance risk processes
• A note on optimal insurance risk control with multiple reinsurers
• Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
• Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
• Optimal dividend and investing control of an insurance company with higher solvency constraints
• OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
• Continuous-time optimal reinsurance strategy with nontrivial curved structures

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