SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle
16 references·2 citing·26 second hop
Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle (2011)Optimal reinsurance and dividend for a di…Optimal dividend strategies in a Cramér–Lundberg model with capital injections (2008)Optimal dividend strategies i…Stochastic Control in Insurance (2007)Stochastic Control in Insuran…Optimal dividend and issuance of equity policies in the presence of proportional costs (2007)Optimal dividend and issuance…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…On Optimal Dividend Strategies In The Compound Poisson Model (2006)On Optimal Dividend Strategie…The compound Poisson risk model with a threshold dividend strategy (2005)The compound Poisson risk mod…OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL (2005)OPTIMAL REINSURANCE AND DIVID…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Optimal Dividends (2004)Optimal DividendsA Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control (2003)A Diffusion Model for Optimal…Optimal Financing of a Corporation Subject To Random Returns (2002)Optimal Financing of a Corpor…Optimal risk control for a large corporation in the presence of returns on investments (2001)Optimal risk control for a la…Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation (2000)Optimal risk control and divi…Optimal risk and dividend distribution control models for an insurance company (2000)Optimal risk and dividend dis…Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example (1999)Controlling Risk Exposure and…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (2018)Optimal investment–reinsuranc…A reinsurance game between two insurance companies with nonlinear risk processes (2015)A reinsurance game between tw…Mathematical Methods in Risk Theory (1970)An introduction to mathematical risk theory (1979)On the Time Value of Ruin (1998)Optimality results for dividend problems in insurance (2009)Strategies for Dividend Distribution: A Review (2009)The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Mean field games (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal Investment for an Insurer to Minimize Its Probability of Ruin (2004)Aspects of Risk Theory (1991)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Dynamic Asset Pricing Theory. (1993)Some Optimal Dividends Problems (2004)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Optimal Bank Capital with Costly Recapitalization* (2006)Optimality of the threshold dividend strategy for the compound Poisson model (2011)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2004Optimal Dividends276 cited
  • 2007Stochastic Control in Insurance268 cited
  • 2000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation252 cited
  • 2005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL246 cited
  • 2006On Optimal Dividend Strategies In The Compound Poisson Model239 cited
  • 1999Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example217 cited
  • 2000Optimal risk and dividend distribution control models for an insurance company176 cited
  • 2005The compound Poisson risk model with a threshold dividend strategy167 cited
  • 2008Optimal dividend strategies in a Cramér–Lundberg model with capital injections138 cited
  • 2003A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control124 cited
  • 2007Optimal dividend and issuance of equity policies in the presence of proportional costs117 cited
  • 2002Optimal Financing of a Corporation Subject To Random Returns

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

80 cited
  • 2001Optimal risk control for a large corporation in the presence of returns on investments73 cited
  • Cited by

    • 2018Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets62 cited
    • 2015A reinsurance game between two insurance companies with nonlinear risk processes53 cited