Optimal Reinsurance and Dividend Strategies Under the Markov-Modulated Insurance Risk Model

DOI10.1080/07362994.2010.515488zbMath1219.93148OpenAlexW2043814330MaRDI QIDQ3068104

Hailiang Yang, Rong-Ming Wang, Jiaqin Wei

Publication date: 13 January 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2010.515488

zbMATH Keywords

viscosity solutionregime switchingHJB equationcompound Poisson modelreinsurancedividend strategy

Mathematics Subject Classification ID

Related Items (9)

Optimal dividends under Markov-modulated bankruptcy level ⋮ Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching ⋮ Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching ⋮ Optimal reinsurance and dividend under model uncertainty ⋮ Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps ⋮ Dividend optimization for jump-diffusion model with solvency constraints ⋮ Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function ⋮ Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting ⋮ Stochastic differential reinsurance games with capital injections

Cites Work

• Unnamed Item
• Unnamed Item
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Controlled diffusion models for optimal dividend pay-out
• Optimal dividend distribution under Markov regime switching
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Hamilton-Jacobi Equations with State Constraints
• Optimal Control with State-Space Constraint I
• Optimal Control with State-Space Constraint. II
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels

This page was built for publication: Optimal Reinsurance and Dividend Strategies Under the Markov-Modulated Insurance Risk Model