Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs

DOI10.3934/jimo.2017051zbMath1412.91039OpenAlexW2696462898MaRDI QIDQ1716949

Gongpin Cheng, Ding Jun Yao, Rong-Ming Wang

Publication date: 5 February 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2017051

zbMATH Keywords

optimal strategyexcess-of-loss reinsurancetransaction costdividend paymentcapital injection

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (2)

Optimal dividends and reinsurance with capital injection under thinning dependence ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure

Cites Work

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• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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