A perturbation approach to optimal investment, liability ratio, and dividend strategies-Reference-Cited by-同舟云学术

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A perturbation approach to optimal investment, liability ratio, and dividend strategies

Published:2021-06-13 Issue: Volume: Page:1-24
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Jin Zhuo¹,Quan Xu Zuo²,Zou Bin³^ORCID

Affiliation:

1. Centre for Actuarial Studies, Department of Economics, University of Melbourne, Parkville, Australia

2. Department of Applied Mathematics, Hong Kong Polytechnic University, Hong Kong, People's Republic of China

3. Department of Mathematics, University of Connecticut, Storrs, CT, USA

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2021.1938199

Reference56 articles.

1. On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier

2. Linking dividends and capital injections – a probabilistic approach

3. Optimality results for dividend problems in insurance

4. Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

5. Controlled diffusion models for optimal dividend pay-out

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1. Optimal Debt Ratio and Dividend Payment Policies for Insurers with Ambiguity;Mathematics;2023-12-22

2. Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model;Journal of Industrial and Management Optimization;2023

3. Asset-liability management with state-dependent utility in the regime-switching market;Stochastic Models;2022-11-11

4. Optimal fee structure of variable annuities;Insurance: Mathematics and Economics;2021-11

5. Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model;Stochastic Models;2021-10-17

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