Optimal risk control and dividend distribution policies for a diffusion model with terminal value

DOI10.1016/j.mcm.2011.12.041zbMath1255.91188OpenAlexW2045662906MaRDI QIDQ1931091

Ming Zhou, Jing-Feng Xu

Publication date: 24 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.12.041

zbMATH Keywords

excess-of-loss reinsuranceterminal valueHJB equationdividendexpected value principlecheap reinsurance

Mathematics Subject Classification ID

Related Items (6)

A Markov decision problem in a risk model with interest rate and Markovian environment ⋮ OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE ⋮ Stochastic differential game strategies in the presence of reinsurance and dividend payout ⋮ Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle ⋮ The optimal dividend payout model with terminal values and its application ⋮ Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value

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