Threshold control of mutual insurance with limited commitment

DOI10.1016/J.INSMATHECO.2008.03.011MaRDI QIDQ938041zbMATHOpenAlexFDO

Authors Jia Yan, John J. Liu, Kevin X. Li

Publication date 18 August 2008

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2008.03.011

zbMATH Keywords

diffusion processstochastic programmingthreshold controllimited commitmentmutual insurance

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 4003342 (Why is no real title available?)
• scientific article; zbMATH DE number 920058 (Why is no real title available?)
• An optimal control problem with a random stopping time
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Controlled diffusion models for optimal dividend pay-out
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Optimal risk control for a large corporation in the presence of returns on investments
• Premium allocation and risk avoidance in a large firm: A continuous model
• The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance

Cited in

(8)

• Optimal design for network mutual aid
• Optimal long-term contracts with disability insurance under limited commitment
• Insurance premiums and default risk in mutual insurance
• The merits of pooling claims: mutual vs. stock insurers
• Premium risk and managed care
• QVI characterization of contingent options in marine mutual insurance
• Valuation of information-sharing in marine mutual insurance
• Stock vs. mutual insurers: who should and who does charge more?

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