Optimal payout strategies when Bruno de Finetti meets model uncertainty

DOI10.1016/J.INSMATHECO.2024.02.002MaRDI QIDQ6543153zbMATH OpenFDO

Authors Yang Feng, Tak Kuen Siu, Jinxia Zhu

Publication date 24 May 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.02.002

zbMATH Keywords

compound Poissondividend paymentsHJB equationmodel uncertaintyviscosity solution

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

• Optimal risk exposure and dividend payout policies under model uncertainty
• Optimal reinsurance and dividend under model uncertainty
• Optimal robust insurance with a finite uncertainty set
• Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs

Cites work

• Applied stochastic control of jump diffusions.
• Controlled diffusion models for optimal dividend pay-out
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• scientific article; zbMATH DE number 3307211 (Why is no real title available?)
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• On optimal dividend strategies in the compound Poisson model
• Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
• Optimal dividend strategies for a risk process under force of interest
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
• Optimal risk and dividend distribution control models for an insurance company
• Optimal risk exposure and dividend payout policies under model uncertainty
• Optimality results for dividend problems in insurance
• Robust consumption and portfolio policies when asset prices can jump
• Robust control and model misspecification
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
• Robust optimal investment and reinsurance of an insurer under jump-diffusion models
• Robust optimal investment and reinsurance problem for a general insurance company under Heston model
• Robust reinsurance contracts with risk constraint
• Robust reinsurance contracts with uncertainty about jump risk
• Robustness
• Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
• Strategies for dividend distribution: a review
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(2)

• How might model uncertainty and transaction costs impact retained earning \& dividend strategies? An examination through a classical insurance risk model
• Robust optimal dividend-reinsurance-financing problems under standard deviation premium principle

This page was built for publication: Optimal payout strategies when Bruno de Finetti meets model uncertainty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6543153)