Approximation of Optimal Reinsurance and Dividend Payout Policies

DOI10.1111/j.0960-1627.2004.00183.xzbMath1097.91052OpenAlexW3122618443MaRDI QIDQ4464015

Nicole Bäuerle

Publication date: 27 May 2004

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00183.x

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdiffusion processasymptotic optimalityproportional reinsurancepiecewise deterministic processdividend payout

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Related Items (22)

Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ Optimal insurance risk control with multiple reinsurers ⋮ Discounted probability of exponential parisian ruin: Diffusion approximation ⋮ Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model ⋮ Dividend optimization for general diffusions with restricted dividend payment rates ⋮ Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility ⋮ Diffusive limit approximation of pure-jump optimal stochastic control problems ⋮ Optimal reinsurance design under solvency constraints ⋮ Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims ⋮ Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity ⋮ Stochastic differential game strategies in the presence of reinsurance and dividend payout ⋮ Dividend maximization under consideration of the time value of ruin ⋮ Dividend optimization for regime-switching general diffusions ⋮ Diffusion approximations for insurance risk processes ⋮ Asymptotic behavior of the processes describing some insurance models ⋮ Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy ⋮ Optimal dividend-payout in random discrete time ⋮ Optimal Dividend Problem: Asymptotic Analysis ⋮ Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin ⋮ Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation ⋮ Strategies for Dividend Distribution: A Review

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