Optimal control of capital injections by reinsurance in a diffusion approximation
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Publication:845587
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Cites work
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- scientific article; zbMATH DE number 1478492 (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?)
- Aspects of risk theory
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Simple approximations of ruin probabilities
Cited in
(25)- Worst-case-optimal dynamic reinsurance for large claims
- Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- Optimal reinsurance and investment in a diffusion model
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Optimal dividend and risk control policies in the presence of a fixed transaction cost
- Managing reputational risk in the decumulation phase of a pension fund
- Minimal cost of a Brownian risk without ruin
- Nonlinear impulse capital injections problem with reinsurance control
- Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
- Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Minimising expected discounted capital injections by reinsurance in a classical risk model
- Stochastic differential reinsurance games with capital injections
- Optimal management of the safety loading and the exposure to proportional reinsurance coverage of anordinary insurance system using a diffusion approximation
- Optimal control and sensitivity analysis for two risk models
- On fair reinsurance premiums; capital injections in a perturbed risk model
- The impact of negative interest rates on optimal capital injections
- Asymptotic behavior of the processes describing some insurance models
- On the time to ruin for a dependent delayed capital injection risk model
- Optimal investment and premium control in a nonlinear diffusion model
- On optimal control of capital injections by reinsurance and investments
- Portfolio selection by minimizing the present value of capital injection costs
- A note on Gerber-Shiu functions with an application
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