File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1007/s10957-010-9726-x
- Scopus: eid_2-s2.0-77958153074
- WOS: WOS:000282702200009
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching
Title | Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Authors | |||||||||||
Keywords | Dividend strategy Proportional reinsurance Quasi-variational inequality Regime switching Viscosity solution | ||||||||||
Issue Date | 2010 | ||||||||||
Publisher | Springer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239 | ||||||||||
Citation | Journal Of Optimization Theory And Applications, 2010, v. 147 n. 2, p. 358-377 How to Cite? | ||||||||||
Abstract | We consider the optimal proportional reinsurance and dividend strategy. The surplus process is modeled by the classical compound Poisson risk model with regime switching. Considering a class of utility functions, the object of the insurer is to select the reinsurance and dividend strategy that maximizes the expected total discounted utility of the shareholders until ruin. By adapting the techniques and methods of stochastic control, we study the quasi-variational inequality for this classical and impulse control problem and establish a verification theorem. We show that the optimal value function is characterized as the unique viscosity solution of the corresponding quasi-variational inequality. © 2010 Springer Science+Business Media, LLC. | ||||||||||
Persistent Identifier | http://hdl.handle.net/10722/135506 | ||||||||||
ISSN | 2023 Impact Factor: 1.6 2023 SCImago Journal Rankings: 0.864 | ||||||||||
ISI Accession Number ID |
Funding Information: We would like to thank the referees for their valuable comments and suggestions. J. Wei would like to acknowledge the PHD Program Scholarship Fund of ECNU (No. 2010050). H. Yang would like to acknowledge the Research Grants Council of the Hong Kong Special Administrative Region, China (project No. HKU 7540/08H). R. Wang would like to acknowledge the National Natural Science Foundation of China (10971068), and the National Basic Research Program of China (973 Program) under grant number 2007CB814904. | ||||||||||
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wei, J | en_HK |
dc.contributor.author | Yang, H | en_HK |
dc.contributor.author | Wang, R | en_HK |
dc.date.accessioned | 2011-07-27T01:36:09Z | - |
dc.date.available | 2011-07-27T01:36:09Z | - |
dc.date.issued | 2010 | en_HK |
dc.identifier.citation | Journal Of Optimization Theory And Applications, 2010, v. 147 n. 2, p. 358-377 | en_HK |
dc.identifier.issn | 0022-3239 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/135506 | - |
dc.description.abstract | We consider the optimal proportional reinsurance and dividend strategy. The surplus process is modeled by the classical compound Poisson risk model with regime switching. Considering a class of utility functions, the object of the insurer is to select the reinsurance and dividend strategy that maximizes the expected total discounted utility of the shareholders until ruin. By adapting the techniques and methods of stochastic control, we study the quasi-variational inequality for this classical and impulse control problem and establish a verification theorem. We show that the optimal value function is characterized as the unique viscosity solution of the corresponding quasi-variational inequality. © 2010 Springer Science+Business Media, LLC. | en_HK |
dc.language | eng | en_US |
dc.publisher | Springer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239 | en_HK |
dc.relation.ispartof | Journal of Optimization Theory and Applications | en_HK |
dc.rights | The original publication is available at www.springerlink.com | en_US |
dc.subject | Dividend strategy | en_HK |
dc.subject | Proportional reinsurance | en_HK |
dc.subject | Quasi-variational inequality | en_HK |
dc.subject | Regime switching | en_HK |
dc.subject | Viscosity solution | en_HK |
dc.title | Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0022-3239&volume=147&issue=2&spage=358&epage=377&date=2010&atitle=Classical+and+impulse+control+for+the+optimization+of+dividend+and+proportional+reinsurance+policies+with+regime+switching | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_HK |
dc.identifier.authority | Yang, H=rp00826 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s10957-010-9726-x | en_HK |
dc.identifier.scopus | eid_2-s2.0-77958153074 | en_HK |
dc.identifier.hkuros | 187196 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-77958153074&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 147 | en_HK |
dc.identifier.issue | 2 | en_HK |
dc.identifier.spage | 358 | en_HK |
dc.identifier.epage | 377 | en_HK |
dc.identifier.isi | WOS:000282702200009 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | Wei, J=24438631900 | en_HK |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_HK |
dc.identifier.scopusauthorid | Wang, R=7405334582 | en_HK |
dc.identifier.citeulike | 7297332 | - |
dc.identifier.issnl | 0022-3239 | - |