IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v40y2007i2p311-321.html
   My bibliography  Save this article

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

Author

Listed:
  • Taksar, Michael
  • Hunderup, Christine Loft

Abstract

No abstract is available for this item.

Suggested Citation

  • Taksar, Michael & Hunderup, Christine Loft, 2007. "The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 311-321, March.
    • Handle: RePEc:eee:insuma:v:40:y:2007:i:2:p:311-321
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(06)00078-3
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Michael I. Taksar, 2000. "Optimal risk and dividend distribution control models for an insurance company," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 51(1), pages 1-42, February.
    2. Bjarne Højgaard & Søren Asmussen & Michael Taksar, 2000. "Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation," Finance and Stochastics, Springer, vol. 4(3), pages 299-324.
    3. Hojgaard, Bjarne & Taksar, Michael, 1998. "Optimal proportional reinsurance policies for diffusion models with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 41-51, May.
    4. Michael Taksar, 2000. "Dependence of the Optimal Risk Control Decisions on the Terminal Value for a Financial Corporation," Annals of Operations Research, Springer, vol. 98(1), pages 89-99, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cheng, Gongpin & Zhao, Yongxia, 2016. "Optimal risk and dividend strategies with transaction costs and terminal value," Economic Modelling, Elsevier, vol. 54(C), pages 522-536.
    2. Yan, Jia & Liu, John J. & Li, Kevin X., 2008. "Threshold control of mutual insurance with limited commitment," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 108-115, August.
    3. Zhou, Ming & Yuen, Kam C., 2012. "Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle," Economic Modelling, Elsevier, vol. 29(2), pages 198-207.
    4. Qiu, Ming & Jin, Zhuo & Li, Shuanming, 2023. "Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 1-23.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zhang, Nan & Jin, Zhuo & Li, Shuanming & Chen, Ping, 2016. "Optimal reinsurance under dynamic VaR constraint," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 232-243.
    2. He, Lin & Liang, Zongxia, 2008. "Optimal financing and dividend control of the insurance company with proportional reinsurance policy," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 976-983, June.
    3. He, Lin & Hou, Ping & Liang, Zongxia, 2008. "Optimal control of the insurance company with proportional reinsurance policy under solvency constraints," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 474-479, December.
    4. Guan, Huiqi & Liang, Zongxia, 2014. "Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 109-122.
    5. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1-2), pages 211-218, January.
    6. Liang, Zhibin & Young, Virginia R., 2012. "Dividends and reinsurance under a penalty for ruin," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 437-445.
    7. He, Lin & Liang, Zongxia, 2009. "Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 88-94, February.
    8. Tan, Ken Seng & Wei, Pengyu & Wei, Wei & Zhuang, Sheng Chao, 2020. "Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle," European Journal of Operational Research, Elsevier, vol. 282(1), pages 345-362.
    9. Meng, Hui & Liao, Pu & Siu, Tak Kuen, 2019. "Continuous-time optimal reinsurance strategy with nontrivial curved structures," Applied Mathematics and Computation, Elsevier, vol. 363(C), pages 1-1.
    10. Arian Cani & Stefan Thonhauser, 2017. "An optimal reinsurance problem in the Cramér–Lundberg model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 179-205, April.
    11. Akira Yamazaki, 2017. "Equilibrium Equity Price With Optimal Dividend Policy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-28, March.
    12. Peng, Xiaofan & Chen, Mi & Guo, Junyi, 2012. "Optimal dividend and equity issuance problem with proportional and fixed transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 576-585.
    13. Ernst, Philip A. & Imerman, Michael B. & Shepp, Larry & Zhou, Quan, 2022. "Fiscal stimulus as an optimal control problem," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 1091-1108.
    14. A, Chunxiang & Li, Zhongfei, 2015. "Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 181-196.
    15. Bjarne Højgaard & Michael Taksar, 2004. "Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 315-327.
    16. Zhu, Jinxia & Chen, Feng, 2013. "Dividend optimization for regime-switching general diffusions," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 439-456.
    17. Sotomayor, Luz R. & Cadenillas, Abel, 2011. "Classical and singular stochastic control for the optimal dividend policy when there is regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 344-354, May.
    18. Zou, Bin & Cadenillas, Abel, 2014. "Optimal investment and risk control policies for an insurer: Expected utility maximization," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 57-67.
    19. Zhuo Jin & Zuo Quan Xu & Bin Zou, 2020. "A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies," Papers 2012.06703, arXiv.org, revised May 2021.
    20. Zhang, Nan & Jin, Zhuo & Qian, Linyi & Fan, Kun, 2019. "Stochastic differential reinsurance games with capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 7-18.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:40:y:2007:i:2:p:311-321. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.