Optimal control of capital injections by reinsurance in a diffusion approximation
DOI10.1007/S11857-009-0066-6zbMATH Open1183.91069OpenAlexW2016340742MaRDI QIDQ845587FDOQ845587
Hanspeter Schmidli, Julia Eisenberg
Publication date: 29 January 2010
Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11857-009-0066-6
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- Aspects of risk theory
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
Cited In (20)
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- On the time to ruin for a dependent delayed capital injection risk model
- Optimal investment and premium control in a nonlinear diffusion model
- Worst-case-optimal dynamic reinsurance for large claims
- Asymptotic behavior of the processes describing some insurance models
- Stochastic differential reinsurance games with capital injections
- Optimal Control and Sensitivity Analysis for Two Risk Models
- On optimal control of capital injections by reinsurance and investments
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
- Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
- On fair reinsurance premiums; capital injections in a perturbed risk model
- The impact of negative interest rates on optimal capital injections
- Optimal reinsurance and investment in a diffusion model
- Optimal dividend and risk control policies in the presence of a fixed transaction cost
- PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS
- A Note on Gerber–Shiu Functions with an Application
- Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
- Managing reputational risk in the decumulation phase of a pension fund
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