The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance

DOI10.1016/J.INSMATHECO.2006.04.009MaRDI QIDQ995512zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

HJB equationproportional reinsurancestochastic control theorydiffusion models

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Dependence of the optimal risk control decisions on the terminal value for a financial corporation
• Optimal proportional reinsurance policies for diffusion models
• Optimal risk and dividend distribution control models for an insurance company
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance 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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