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Optimal risk and dividend distribution control models for an insurance company

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Cited by:

  1. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2009. "Spectral decomposition of optimal asset-liability management," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 710-724, March.
  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. Zeng, Xudong, 2010. "Optimal reinsurance with a rescuing procedure," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 397-405, April.
  4. Feng, Yang & Siu, Tak Kuen & Zhu, Jinxia, 2024. "Optimal payout strategies when Bruno de Finetti meets model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 148-164.
  5. Chonghu Guan & Zuo Quan Xu & Rui Zhou, 2020. "Dynamic optimal reinsurance and dividend-payout in finite time horizon," Papers 2008.00391, arXiv.org, revised Jun 2022.
  6. Li, Peng & Zhou, Ming & Yin, Chuancun, 2015. "Optimal reinsurance with both proportional and fixed costs," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 134-141.
  7. Bin Zou & Abel Cadenillas, 2014. "Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization," Papers 1402.3560, arXiv.org, revised Mar 2014.
  8. Alex S. L. Tse, 2018. "Dividend Policy and Capital Structure of a Defaultable Firm," Papers 1810.03501, arXiv.org.
  9. 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.
  10. Zhu, Jinxia & Chen, Feng, 2013. "Dividend optimization for regime-switching general diffusions," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 439-456.
  11. Pelsser, Antoon A.J. & Laeven, Roger J.A., 2013. "Optimal dividends and ALM under unhedgeable risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 515-523.
  12. 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.
  13. Leung, Kwai Sun & Kwok, Yue Kuen & Leung, Seng Yuen, 2008. "Finite-time dividend-ruin models," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 154-162, February.
  14. Peter Grandits, 2015. "An optimal consumption problem in finite time with a constraint on the ruin probability," Finance and Stochastics, Springer, vol. 19(4), pages 791-847, October.
  15. Tahir Choulli & Michael Taksar & Xun Yu Zhou, 2005. "Interplay between dividend rate and business constraints for a financial corporation," Papers math/0503541, arXiv.org.
  16. Kristoffer Lindensjö & Filip Lindskog, 2020. "Optimal dividends and capital injection under dividend restrictions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(3), pages 461-487, December.
  17. Erhan Bayraktar & Masahiko Egami, 2010. "A unified treatment of dividend payment problems under fixed cost and implementation delays," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 325-351, April.
  18. 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.
  19. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2006. "A path integral approach to asset-liability management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 404-416.
  20. 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.
  21. 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.
  22. Luis H. R. Alvarez & Teppo A. Rakkolainen, 2007. "Optimal Dividend Control in Presence of Downside Risk," Discussion Papers 14, Aboa Centre for Economics.
  23. Alexander Lipton, 2016. "Modern Monetary Circuit Theory, Stability Of Interconnected Banking Network, And Balance Sheet Optimization For Individual Banks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-57, September.
  24. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models," Risks, MDPI, vol. 9(6), pages 1-13, June.
  25. 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.
  26. Hernández, Camilo & Junca, Mauricio & Moreno-Franco, Harold, 2018. "A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 57-68.
  27. Chonghu Guan & Zuo Quan Xu, 2023. "Optimal ratcheting of dividend payout under Brownian motion surplus," Papers 2308.15048, arXiv.org, revised Jul 2024.
  28. 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.
  29. Hubalek, Friedrich & Schachermayer, Walter, 2004. "Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 193-225, April.
  30. Kristoffer Lindensjo & Filip Lindskog, 2019. "Optimal dividends and capital injection under dividend restrictions," Papers 1902.06294, arXiv.org.
  31. Jinxia Zhu & Hailiang Yang, 2015. "Optimal financing and dividend distribution in a general diffusion model with regime switching," Papers 1506.08360, arXiv.org.
  32. Taksar, Michael & Zeng, Xudong, 2011. "Optimal non-proportional reinsurance control and stochastic differential games," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 64-71, January.
  33. 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.
  34. Nabil Kazi-Tani, 2018. "Inf-Convolution of Choquet Integrals and Applications in Optimal Risk Transfer," Working Papers hal-01742629, HAL.
  35. Krvavych, Yuriy & Sherris, Michael, 2006. "Enhancing insurer value through reinsurance optimization," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 495-517, June.
  36. 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.
  37. Meng, Hui & Siu, Tak Kuen & Yang, Hailiang, 2013. "Optimal dividends with debts and nonlinear insurance risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 110-121.
  38. Thonhauser, Stefan & Albrecher, Hansjorg, 2007. "Dividend maximization under consideration of the time value of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 163-184, July.
  39. 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.
  40. Łukasz Delong & Russell Gerrard, 2007. "Mean-variance portfolio selection for a non-life insurance company," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(2), pages 339-367, October.
  41. Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 27-58, March.
  42. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1-2), pages 211-218, January.
  43. Feng, Yang & Zhu, Jinxia & Siu, Tak Kuen, 2021. "Optimal risk exposure and dividend payout policies under model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 1-29.
  44. Alex S. L. Tse, 2020. "Dividend policy and capital structure of a defaultable firm," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 961-994, July.
  45. 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.
  46. Bin Zou & Abel Cadenillas, 2017. "Optimal Investment and Liability Ratio Policies in a Multidimensional Regime Switching Model," Risks, MDPI, vol. 5(1), pages 1-22, January.
  47. Alexander Lipton, 2015. "Modern Monetary Circuit Theory, Stability of Interconnected Banking Network, and Balance Sheet Optimization for Individual Banks," Papers 1510.07608, arXiv.org.
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