Impulse control of proportional reinsurance with constraints

DOI10.1155/2011/190603zbMath1229.91165OpenAlexW1997121606WikidataQ58688894 ScholiaQ58688894MaRDI QIDQ638026

Tak Kuen Siu, Hui Meng

Publication date: 8 September 2011

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/190603

zbMATH Keywords

proportional reinsuranceproportional transaction costsfixed transaction costsoptimal dividend policyoptimal impulse control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items

Optimal insurance risk control with multiple reinsurers ⋮ OPTIMAL FINANCING AND DIVIDEND DISTRIBUTION WITH TRANSACTION COSTS IN THE CASE OF RESTRICTED DIVIDEND RATES ⋮ OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES ⋮ Optimal dividends with debts and nonlinear insurance risk processes ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ A note on optimal insurance risk control with multiple reinsurers ⋮ Continuous-time optimal reinsurance strategy with nontrivial curved structures ⋮ Optimal dividend and proportional reinsurance strategy under standard deviation premium principle

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Optimal dividend payouts for diffusions with solvency constraints
• Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
• Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
• Impulse Control of Brownian Motion: The Constrained Average Cost Case
• Optimality of an $(s,S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach
• On the Optimal Stochastic Impulse Control of Linear Diffusions
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Games of Economic Survival with Discrete- and Continuous-Income Processes