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Impulse Control of Proportional Reinsurance with Constraints
Joint Authors
Source
International Journal of Stochastic Analysis
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-08-10
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
We consider an insurance company whose surplus follows a diffusion process with proportional reinsurance and impulse dividend control.
Our objective is to maximize expected discounted dividend payouts to shareholders of the company until the time of bankruptcy.
To meet some essential requirements of solvency control (e.g., bankruptcy not soon), we impose some constraints on the insurance company's dividend policy.
Under two types of constraints, we derive the value functions and optimal control policies of the company.
American Psychological Association (APA)
Meng, Hui& Siu, Tak Kuen. 2011. Impulse Control of Proportional Reinsurance with Constraints. International Journal of Stochastic Analysis،Vol. 2011, no. 2011, pp.1-13.
https://search.emarefa.net/detail/BIM-453171
Modern Language Association (MLA)
Meng, Hui& Siu, Tak Kuen. Impulse Control of Proportional Reinsurance with Constraints. International Journal of Stochastic Analysis No. 2011 (2011), pp.1-13.
https://search.emarefa.net/detail/BIM-453171
American Medical Association (AMA)
Meng, Hui& Siu, Tak Kuen. Impulse Control of Proportional Reinsurance with Constraints. International Journal of Stochastic Analysis. 2011. Vol. 2011, no. 2011, pp.1-13.
https://search.emarefa.net/detail/BIM-453171
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-453171