Optimal dividend strategy for an insurance group with contagious default risk-Reference-Cited by-同舟云学术

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Optimal dividend strategy for an insurance group with contagious default risk

Published:2020-11-15 Issue: Volume: Page:1-27
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Jin Zhuo¹,Liao Huafu²,Yang Yue³,Yu Xiang³^ORCID

Affiliation:

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

2. School of Mathematical Sciences, University of Science and Technology of China, Hefei, Anhui, People's Republic of China

3. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong

Funder

Research Grants Council, University Grants Committee

The Hong Kong Polytechnic University

Publisher

Informa UK Limited

Subject

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

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2020.1845231

Reference37 articles.

1. Optimality results for dividend problems in insurance

2. Optimal dividend strategies for two collaborating insurance companies

3. Inhomogeneous Financial Networks and Contagious Links

4. Controlled diffusion models for optimal dividend pay-out

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

Cited by 11 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal dividend and risk control strategies for an insurer when there are multiple reinsurers with different risk attitudes;Finance Research Letters;2024-11

2. Mean field game of optimal relative investment with jump risk;Science China Mathematics;2024-03-15

3. Minimizing an insurer's probability of ruin with branching businesses;Mathematical Control and Related Fields;2024

4. On Optimality of Barrier Dividend Control Under Endogenous Regime Switching with Application to Chapter 11 Bankruptcy;Applied Mathematics & Optimization;2023-12-05

5. On De Finetti’s optimal impulse dividend control problem under Chapter 11 bankruptcy;Acta Mathematica Scientia;2023-11-29

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