Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle

DOI10.1080/03610926.2014.901374zbMath1411.91326OpenAlexW2559213601MaRDI QIDQ2979011

Lin Xu, Rong-Ming Wang, Ding Jun Yao

Publication date: 2 May 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.901374

zbMATH Keywords

impulse controlproportional reinsurancedividend paymentcapital injectionexponential premium principle

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items

Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy, Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend, Optimal dividend and risk control strategies for an insurer with two groups of reinsurers, Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate, Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching, Optimal dividend and proportional reinsurance strategy under standard deviation premium principle

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