Impulse control of proportional reinsurance with constraints
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Publication:638026
DOI10.1155/2011/190603zbMATH Open1229.91165OpenAlexW1997121606WikidataQ58688894 ScholiaQ58688894MaRDI QIDQ638026FDOQ638026
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
Recommendations
- Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
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- Optimal impulse and regular control strategies for proportional reinsurance problem
proportional reinsuranceproportional transaction costsfixed transaction costsoptimal dividend policyoptimal impulse control
Cites Work
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- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- Optimal dividend payouts for diffusions with solvency constraints
- Games of Economic Survival with Discrete- and Continuous-Income Processes
- Optimality of an \((s,S)\) policy with compound Poisson and diffusion demands: a quasi-variational inequalities approach
- Impulse Control of Brownian Motion: The Constrained Average Cost Case
- Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
- On the Optimal Stochastic Impulse Control of Linear Diffusions
Cited In (16)
- Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
- Optimal impulse and regular control strategies on proportional reinsurance model
- Optimal insurance risk control with multiple reinsurers
- Optimal impulse and regular control strategies for proportional reinsurance problem
- OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
- Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates
- Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
- The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
- Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
- Continuous-time optimal reinsurance strategy with nontrivial curved structures
- Some optimisation problems in insurance with a terminal distribution constraint
- Optimal dividends with debts and nonlinear insurance risk processes
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance
- Optimal dividend and investing control of an insurance company with higher solvency constraints
- A note on optimal insurance risk control with multiple reinsurers
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