Optimal control of capital injections by reinsurance in a diffusion approximation

DOI10.1007/s11857-009-0066-6zbMath1183.91069OpenAlexW2016340742MaRDI QIDQ845587

Hanspeter Schmidli, Julia Eisenberg

Publication date: 29 January 2010

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-009-0066-6

zbMATH Keywords

Brownian motionproportional reinsuranceexcess of lossreflected diffusion process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (15)

Worst-case-optimal dynamic reinsurance for large claims ⋮ A Note on Gerber–Shiu Functions with an Application ⋮ PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS ⋮ On optimal control of capital injections by reinsurance and investments ⋮ Managing reputational risk in the decumulation phase of a pension fund ⋮ Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs ⋮ Optimal dividend and risk control policies in the presence of a fixed transaction cost ⋮ Optimal investment and reinsurance policies in insurance markets under the effect of inside information ⋮ On the time to ruin for a dependent delayed capital injection risk model ⋮ Stochastic differential reinsurance games with capital injections ⋮ The impact of negative interest rates on optimal capital injections ⋮ Asymptotic behavior of the processes describing some insurance models ⋮ Optimal Control and Sensitivity Analysis for Two Risk Models ⋮ Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest ⋮ Optimal reinsurance and investment in a diffusion model

Cites Work

• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Aspects of risk theory
• Simple approximations of ruin probabilities
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
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