The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance

DOI10.1016/j.insmatheco.2006.04.009zbMath1141.91467OpenAlexW2073339477MaRDI QIDQ995512

Christine Loft Hunderup, Michael I. Taksar

Publication date: 3 September 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.04.009

zbMATH Keywords

HJB equationstochastic control theorydiffusion modelsproportional reinsurance

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items

Minimisation of penalty payments by investments and reinsurance, Optimal risk control policies for diffusion models with non-cheap proportional reinsurance and bankruptcy value, OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE, Optimal risk control and dividend distribution policies for a diffusion model with terminal value, Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach, Optimal control of the risk process in a regime-switching environment, Threshold control of mutual insurance with limited commitment, The optimal dividend payout model with terminal values and its application, Optimal proportional reinsurance policies for stochastic models

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