Optimal proportional reinsurance model with transaction costs

DOI10.1007/s12190-008-0108-6zbMath1152.91611MaRDI QIDQ949364

Ruicheng Yang, Xuezhi Qin

Publication date: 21 October 2008

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-008-0108-6

zbMATH Keywords

stochastic differential equation; stopping time; mixed control strategy; proportional reinsurance model; reinsurance transaction costs

Mathematics Subject Classification ID

60J60: Diffusion processes

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Cites Work

• Unnamed Item
• Unnamed Item
• Optimal risk and dividend control for a company with a debt liability
• Using a geometric Brownian motion to control a Brownian motion and vice versa
• On Bellman equations in quadratic ergodic control with controller constraints
• Optimal Central Bank intervention in the foreign exchange market
• Controlled diffusion models for optimal dividend pay-out
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal impulse and regular control strategies for proportional reinsurance problem
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation