On the surplus management of funds with assets and liabilities in presence of solvency requirements

DOI10.1080/03461238.2022.2116725zbMath1525.91151arXiv2203.05139MaRDI QIDQ6098034

Ping Chen, Lars Frederik Brandt Henriksen, Benjamin Avanzi, Bernard Wong

Publication date: 9 June 2023

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

Full work available at URL: https://arxiv.org/abs/2203.05139

zbMATH Keywords

regulationstochastic controlcapital injectionssolvencyoptimal dividendsfunding ratio

Mathematics Subject Classification ID

Optimal stochastic control (93E20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Actuarial mathematics (91G05)

Cites Work

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