Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
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Publication:4990510
DOI10.1080/03461238.2020.1824158zbMath1468.91122arXiv2007.00233OpenAlexW3088283338MaRDI QIDQ4990510
Mi Chen, Wenyuan Wang, Kam-Chuen Yuen
Publication date: 28 May 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.00233
excess-of-loss reinsurancetransaction costsdividendsreinsurance strategyadmissible strategyquasi variational inequalitythinning dependenceexpected value premium principlecontrolled surplus processoptimal reinsurance policy
Related Items (6)
Dividend and capital injection optimization with transaction cost for Lévy risk processes ⋮ Optimal dividends and reinsurance with capital injection under thinning dependence ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences ⋮ Unnamed Item ⋮ Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
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