A note on optimal expected utility of dividend payments with proportional reinsurance

DOI10.1080/03461238.2017.1343748zbMath1416.91201arXiv1605.06849OpenAlexW2963861824MaRDI QIDQ4583594

Xiaoqing Liang, Zbigniew Palmowski

Publication date: 31 August 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.06849

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlproportional reinsuranceoptimal dividend

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (3)

Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK

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