Optimal dividend policy in an insurance company with contagious arrivals of claims

DOI10.3934/MCRF.2020024zbMATH Open1479.91314OpenAlexW3012712271MaRDI QIDQ829004FDOQ829004

Authors: Yiling Chen, Baojun Bian 

Publication date: 5 May 2021

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2020024

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zbMATH Keywords

viscosity solutioninsuranceself-excitingbarrier curve strategyoptimal dividend payment

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Cites Work

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• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
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• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
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• Optimal investment and dividend policy in an insurance company: a varied bound for dividend rates
• Contagion modeling between the financial and insurance markets with time changed processes
• Optimal dividend strategies for two collaborating insurance companies
• Optimal dividend policy when cash reserves follow a jump-diffusion process under Markov-regime switching

Cited In (8)

• Title not available (Why is that?)
• Optimal dividend strategies for a catastrophe insurer
• Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
• Optimal reinsurance-investment strategy for a dynamic contagion claim model
• Optimal dividend strategy for an insurance group with contagious default risk
• Title not available (Why is that?)
• Optimal dividend payment in an insurance company with stationary Hawkes process
• Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty

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