Optimal risk and liquidity management with costly refinancing opportunities

DOI10.1016/j.insmatheco.2014.05.001zbMath1304.91090OpenAlexW3123385847MaRDI QIDQ2513438

Andrea Barth, Santiago Moreno-Bromberg

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.05.001

zbMATH Keywords

singular stochastic controlliquidity managementrisk exposurestochastic impulse control

Mathematics Subject Classification ID

Related Items (4)

OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE ⋮ Optimal dividend and risk control strategies for an insurer with two groups of reinsurers ⋮ Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle ⋮ Market frictions and corporate finance: an overview paper

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