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Optimal debt ratio and dividend payment strategies with reinsurance

Published:2015-09 Issue: Volume:64 Page:351-363
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Jin Zhuo,Yang Hailiang,Yin G.

Funder

University of Melbourne

Hong Kong Special Administrative Region

Society of Actuaries’ Centers of Actuarial Excellence Research

National Science Foundation

Publisher

Elsevier BV

Subject

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

Reference22 articles.

1. Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation;Asmussen;Finance Stoch.,2000

2. Controlled diffusion models for optimal dividend pay-out;Asmussen;Insurance Math. Econom.,1997

3. Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting;Bai;Insurance Math. Econom.,2008

4. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint;Bai;Insurance Math. Econom.,2008

5. Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction;Choulli;Quant. Finance,2001

Cited by 17 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 Debt Ratio and Dividend Payment Policies for Insurers with Ambiguity;Mathematics;2023-12-22

2. Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach;Insurance: Mathematics and Economics;2023-11

3. A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes;Journal of Industrial and Management Optimization;2023

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

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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