Optimal dividend and investing control of an insurance company with higher solvency constraints
From MaRDI portal
Publication:654829
DOI10.1016/j.insmatheco.2011.08.008zbMath1232.91352arXiv1005.1360MaRDI QIDQ654829
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.1360
stochastic differential equations; proportional reinsurance; solvency; probability of bankruptcy; optimal dividend policy; optimal return function; stochastic regular-singular control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
60H05: Stochastic integrals
91G50: Corporate finance (dividends, real options, etc.)
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