Optimal impulse and regular control strategies for proportional reinsurance problem

DOI10.1007/BF02936561zbMath1079.60071MaRDI QIDQ2386802

Kun Hui Liu, Bing Xia, Ruicheng Yang

Publication date: 25 August 2005

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationstopping timeimpulse controloptimal return function

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (7)

Dividend optimization for general diffusions with restricted dividend payment rates ⋮ Optimal birth control for competition system of three species with age-structure ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Optimal proportional reinsurance model with transaction costs ⋮ Optimal harvesting for a population dynamics problem with age-structure and diffusion ⋮ Dividend optimization for regime-switching general diffusions ⋮ Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy

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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