The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
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Publication:995512
DOI10.1016/J.INSMATHECO.2006.04.009zbMATH Open1141.91467OpenAlexW2073339477MaRDI QIDQ995512FDOQ995512
Authors: Christine Loft Hunderup, Michael Taksar 
Publication date: 3 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.04.009
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Cites Work
- Title not available (Why is that?)
- Controlling risk exposure and dividends payout schemes: Insurance company example
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- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal risk and dividend distribution control models for an insurance company
- Optimal proportional reinsurance policies for diffusion models
- Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
- Dependence of the optimal risk control decisions on the terminal value for a financial corporation
Cited In (12)
- The optimal dividend payout model with terminal values and its application
- Optimal asset control of the diffusion model under consideration of the time value of ruin
- Minimisation of penalty payments by investments and reinsurance
- Optimal control of the risk process in a regime-switching environment
- Optimal risk control policies for diffusion models with non-cheap proportional reinsurance and bankruptcy value
- Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
- Optimal risk control and dividend distribution policies for a diffusion model with terminal value
- The optimal strategy for an insurance company under the influence of the terminal value
- Optimal dividend and reinsurance strategies with financing and liquidation value
- Dependence of the optimal risk control decisions on the terminal value for a financial corporation
- Threshold control of mutual insurance with limited commitment
- Optimal proportional reinsurance policies for stochastic models
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