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Optimal combined dividend and reinsurance policies under interest rate in Lévy markets - MaRDI portal

Optimal combined dividend and reinsurance policies under interest rate in Lévy markets

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Publication:2204275

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DOI10.1504/IJMOR.2017.080745zbMath1452.91276MaRDI QIDQ2204275

Eriyoti Chikodza, Sivuyile W. Mgobhozi

Publication date: 15 October 2020

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

zbMATH Keywords

modelling optimal stopping interest rates impulse control quasi-variational inequality dividend policy risk control insurance industry Lévy markets cash reserves reinsurance policy

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)

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