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Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching
16 references·0 citing·36 second hop
Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching (2010)Classical and Impulse Control for the Opt…Optimal dividend distribution under Markov regime switching (2012)Optimal dividend distribution…OPTIMAL DIVIDEND POLICY WITH MEAN‐REVERTING CASH RESERVOIR (2006)OPTIMAL DIVIDEND POLICY WITH …CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM (2006)CLASSICAL AND IMPULSE STOCHAS…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…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs (2002)Optimal Consumption and Portf…Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach (2001)Optimal portfolio selection w…Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation (2000)Optimal risk control and divi…Some applications of impulse control in mathematical finance (1999)Some applications of impulse …Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example (1999)Controlling Risk Exposure and…Portfolio optimisation with strictly positive transaction costs and impulse control (1998)Portfolio optimisation with s…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Risk theory in a Markovian environment (1989)Risk theory in a Markovian en…Optimal Control with State-Space Constraint. II (1986)Optimal Control with State-Sp…Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part I (1983)Optimal control of diffusion …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)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)Stochastic Differential Equations (2003)A model of optimal portfolio selection under liquidity risk and price impact (2006)A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Portfolio Selection with Transaction Costs (1990)Asset Prices and Trading Volume Under Fixed Transactions Costs (2001)Asymptotic analysis for optimal investment and consumption with transaction costs (2004)An introduction to mathematical risk theory (1979)Aspects of Risk Theory (1991)Optimal risk and dividend distribution control models for an insurance company (2000)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)Matrix-Geometric Solutions to Stochastic Models (1984)Applied Probability and Queues (1987)Structured Stochastic Matrices of M/G/1 Type and Their Applications. (1991)Importance Sampling, Large Deviations, and Differential Games (2004)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Discontinuous solutions of deterministic optimal stopping time problems (1987)Optimal Bank Capital with Costly Recapitalization* (2006)Optimality results for dividend problems in insurance (2009)Strategies for Dividend Distribution: A Review (2009)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Partial Differential Equations (2010)
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References

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  • 2001Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

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109 cited
  • 2012Optimal dividend distribution under Markov regime switching88 cited
  • 2006OPTIMAL DIVIDEND POLICY WITH MEAN‐REVERTING CASH RESERVOIR84 cited
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