Optimal debt ratio and dividend payment strategies with reinsurance

DOI10.1016/j.insmatheco.2015.07.005zbMath1348.91156OpenAlexW1010567200MaRDI QIDQ495502

Hailiang Yang, Zhuo Jin, G. George Yin

Publication date: 14 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.07.005

zbMATH Keywords

stochastic controlfinancial crisisdividend strategiesoptimal debt ratioreinsurance policies

Mathematics Subject Classification ID

Related Items (10)

Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model ⋮ On the dividends of the risk model with Markovian barrier ⋮ A perturbation approach to optimal investment, liability ratio, and dividend strategies ⋮ Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio ⋮ Optimal investment with transaction costs and dividends for an insurer ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency ⋮ Optimal debt ratio and dividend strategies for an insurer under a regime-switching model

Cites Work

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• Optimal Dividends
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