Guo, Yu; Shu, Xiao-Bao; Xu, Fei; Yang, Cheng HJB equation for optimal control system with random impulses. (English) Zbl 07820228 Optimization 73, No. 4, 1303-1327 (2024). MSC: 90Cxx 49-XX PDFBibTeX XMLCite \textit{Y. Guo} et al., Optimization 73, No. 4, 1303--1327 (2024; Zbl 07820228) Full Text: DOI
Bazyari, Abouzar On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property. (English) Zbl 07808593 Commun. Stat., Theory Methods 53, No. 4, 1162-1187 (2024). MSC: 60J99 93E20 60G51 PDFBibTeX XMLCite \textit{A. Bazyari}, Commun. Stat., Theory Methods 53, No. 4, 1162--1187 (2024; Zbl 07808593) Full Text: DOI
Qiu, Ming; Jin, Zhuo; Li, Shuanming Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach. (English) Zbl 07803998 Insur. Math. Econ. 113, 1-23 (2023). MSC: 91G05 91G45 PDFBibTeX XMLCite \textit{M. Qiu} et al., Insur. Math. Econ. 113, 1--23 (2023; Zbl 07803998) Full Text: DOI
Zhao, Yong-xia; Ye, Chuan-xiu; Cheng, Gong-pin Equilibrium dividend strategies in the dual model with a random time horizon. (English) Zbl 07803422 Appl. Math., Ser. B (Engl. Ed.) 38, No. 4, 510-522 (2023). MSC: 93E20 91A20 60H30 PDFBibTeX XMLCite \textit{Y.-x. Zhao} et al., Appl. Math., Ser. B (Engl. Ed.) 38, No. 4, 510--522 (2023; Zbl 07803422) Full Text: DOI
Hao, Wenjing; Qiu, Zhijian; Li, Lu The investment and reinsurance game of insurers and reinsurers with default risk under CEV model. (English) Zbl 07792467 RAIRO, Oper. Res. 57, No. 5, 2853-2872 (2023). MSC: 62P05 91B30 93E20 PDFBibTeX XMLCite \textit{W. Hao} et al., RAIRO, Oper. Res. 57, No. 5, 2853--2872 (2023; Zbl 07792467) Full Text: DOI
Luo, Xiankang; Zhu, Quanxin; Zhang, Ying; Chen, Peimin Optimal impulse dividend and capital injection model with proportional and fixed transaction costs. (English) Zbl 07782094 Math. Methods Appl. Sci. 46, No. 5, 4942-4964 (2023). MSC: 47N10 49N25 93E20 PDFBibTeX XMLCite \textit{X. Luo} et al., Math. Methods Appl. Sci. 46, No. 5, 4942--4964 (2023; Zbl 07782094) Full Text: DOI
Torrente, Maria-Laura Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business. (English) Zbl 07767342 Decis. Econ. Finance 46, No. 2, 611-633 (2023). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 93E20 49L25 PDFBibTeX XMLCite \textit{M.-L. Torrente}, Decis. Econ. Finance 46, No. 2, 611--633 (2023; Zbl 07767342) Full Text: DOI OA License
Alvarez E., Luis H. R.; Sillanpää, Wiljami Optimal stopping and impulse control in the presence of an anticipated regime switch. (English) Zbl 07754805 Math. Methods Oper. Res. 98, No. 2, 205-230 (2023). MSC: 49N25 PDFBibTeX XMLCite \textit{L. H. R. Alvarez E.} and \textit{W. Sillanpää}, Math. Methods Oper. Res. 98, No. 2, 205--230 (2023; Zbl 07754805) Full Text: DOI OA License
Yao, Dingjun; Xu, Rui; Cheng, Gongpin; Fan, Kun Optimal dividend and risk control strategies for an insurer with two groups of reinsurers. (English) Zbl 07719463 Stochastics 95, No. 5, 785-818 (2023). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{D. Yao} et al., Stochastics 95, No. 5, 785--818 (2023; Zbl 07719463) Full Text: DOI
Bin, Ning; Zhu, Huainian; Zhang, Chengke Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model. (English) Zbl 1520.91309 Methodol. Comput. Appl. Probab. 25, No. 2, Paper No. 54, 27 p. (2023). MSC: 91G05 91A15 60H30 91A80 PDFBibTeX XMLCite \textit{N. Bin} et al., Methodol. Comput. Appl. Probab. 25, No. 2, Paper No. 54, 27 p. (2023; Zbl 1520.91309) Full Text: DOI
Xu, Peng; Chen, Zhenlong; Xu, Lin Optimal dividends for regulated insurers with a nonlinear penalty. (English) Zbl 1519.91226 Int. J. Control 96, No. 6, 1397-1407 (2023). MSC: 91G05 49L20 PDFBibTeX XMLCite \textit{P. Xu} et al., Int. J. Control 96, No. 6, 1397--1407 (2023; Zbl 1519.91226) Full Text: DOI
Teng, Ye; Zhang, Zhimin Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation. (English) Zbl 07702350 Appl. Math. Comput. 452, Article ID 128074, 22 p. (2023). MSC: 91Bxx 91Gxx 60Jxx PDFBibTeX XMLCite \textit{Y. Teng} and \textit{Z. Zhang}, Appl. Math. Comput. 452, Article ID 128074, 22 p. (2023; Zbl 07702350) Full Text: DOI
Yang, Bo; Wang, Rongming; Cheng, Gongpin Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences. (English) Zbl 1518.91230 Math. Control Relat. Fields 13, No. 3, 1184-1211 (2023). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{B. Yang} et al., Math. Control Relat. Fields 13, No. 3, 1184--1211 (2023; Zbl 1518.91230) Full Text: DOI
Wu, Hong-Jiang; Zhang, Ying-Ying; Li, Han-Yu Expectation identities from integration by parts for univariate continuous random variables with applications to high-order moments. (English) Zbl 07697722 Stat. Pap. 64, No. 2, 477-496 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{H.-J. Wu} et al., Stat. Pap. 64, No. 2, 477--496 (2023; Zbl 07697722) Full Text: DOI
Xu, Lin; Wang, Linlin; Liu, Xiao; Wang, Hao Optimal active lifetime investment. (English) Zbl 1514.91177 Int. J. Control 96, No. 1, 48-57 (2023). MSC: 91G10 49L20 60J20 PDFBibTeX XMLCite \textit{L. Xu} et al., Int. J. Control 96, No. 1, 48--57 (2023; Zbl 1514.91177) Full Text: DOI
Surya, Budhi; Wang, Wenyuan; Zhao, Xianghua; Zhou, Xiaowen Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process. (English) Zbl 1511.91119 Scand. Actuar. J. 2023, No. 2, 97-122 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60G51 60J35 PDFBibTeX XMLCite \textit{B. Surya} et al., Scand. Actuar. J. 2023, No. 2, 97--122 (2023; Zbl 1511.91119) Full Text: DOI arXiv
He, Yue; Kawai, Reiichiro; Shimizu, Yasutaka; Yamazaki, Kazutoshi The Gerber-Shiu discounted penalty function: a review from practical perspectives. (English) Zbl 1508.91474 Insur. Math. Econ. 109, 1-28 (2023). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{Y. He} et al., Insur. Math. Econ. 109, 1--28 (2023; Zbl 1508.91474) Full Text: DOI arXiv
Wang, Wenyuan; Wang, Ning; Chen, Mi On a doubly reflected risk process with running maximum dependent reflecting barriers. (English) Zbl 1505.91137 J. Comput. Appl. Math. 422, Article ID 114880, 22 p. (2023). MSC: 91B05 91G50 60G51 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Comput. Appl. Math. 422, Article ID 114880, 22 p. (2023; Zbl 1505.91137) Full Text: DOI
Dai, Suhang; Menoukeu-Pamen, Olivier An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems. (English) Zbl 1498.60160 J. Comput. Appl. Math. 421, Article ID 114864, 24 p. (2023). MSC: 60G40 65C20 60J25 47D07 60J35 PDFBibTeX XMLCite \textit{S. Dai} and \textit{O. Menoukeu-Pamen}, J. Comput. Appl. Math. 421, Article ID 114864, 24 p. (2023; Zbl 1498.60160) Full Text: DOI
Shen, Weiwei; Yin, Juliang Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market. (English) Zbl 1508.91485 Methodol. Comput. Appl. Probab. 24, No. 4, 2913-2931 (2022). MSC: 91G05 93E20 60G51 91B70 49L20 PDFBibTeX XMLCite \textit{W. Shen} and \textit{J. Yin}, Methodol. Comput. Appl. Probab. 24, No. 4, 2913--2931 (2022; Zbl 1508.91485) Full Text: DOI
Gu, Ailing; Chen, Shumin; Li, Zhongfei; Viens, Frederi G. Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model. (English) Zbl 1501.91153 Scand. Actuar. J. 2022, No. 9, 749-774 (2022). MSC: 91G05 91B43 49L20 91A65 PDFBibTeX XMLCite \textit{A. Gu} et al., Scand. Actuar. J. 2022, No. 9, 749--774 (2022; Zbl 1501.91153) Full Text: DOI
Wang, Liang; Wang, Guiru Optimal valuation of retailer equity financing based on gambling agreements in centralized supply chain. (English) Zbl 1499.91189 Discrete Dyn. Nat. Soc. 2022, Article ID 7226487, 24 p. (2022). MSC: 91G70 90B06 PDFBibTeX XMLCite \textit{L. Wang} and \textit{G. Wang}, Discrete Dyn. Nat. Soc. 2022, Article ID 7226487, 24 p. (2022; Zbl 1499.91189) Full Text: DOI
Zhu, Shihao; Shi, Jingtao Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information. (English) Zbl 1497.91268 J. Syst. Sci. Complex. 35, No. 4, 1458-1479 (2022). MSC: 91G05 60G35 PDFBibTeX XMLCite \textit{S. Zhu} and \textit{J. Shi}, J. Syst. Sci. Complex. 35, No. 4, 1458--1479 (2022; Zbl 1497.91268) Full Text: DOI arXiv
Chen, Mi; Zhou, Ming; Liu, Haiyan; Yuen, Kam Chuen Optimal dividends and reinsurance with capital injection under thinning dependence. (English) Zbl 07565516 Commun. Stat., Theory Methods 51, No. 16, 5728-5749 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{M. Chen} et al., Commun. Stat., Theory Methods 51, No. 16, 5728--5749 (2022; Zbl 07565516) Full Text: DOI
Wang, Wenyuan; Wang, Yuebao; Chen, Ping; Wu, Xueyuan Dividend and capital injection optimization with transaction cost for Lévy risk processes. (English) Zbl 1494.49019 J. Optim. Theory Appl. 194, No. 3, 924-965 (2022). MSC: 49K45 49N25 91B05 91B32 91B70 62P05 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Optim. Theory Appl. 194, No. 3, 924--965 (2022; Zbl 1494.49019) Full Text: DOI
Zhao, Yongxia; Dong, Hua; Zhong, Wei Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon. (English) Zbl 07562258 Commun. Stat., Theory Methods 51, No. 14, 4757-4780 (2022). MSC: 93E20 91G80 PDFBibTeX XMLCite \textit{Y. Zhao} et al., Commun. Stat., Theory Methods 51, No. 14, 4757--4780 (2022; Zbl 07562258) Full Text: DOI
Christensen, Sören; Lindensjö, Kristoffer Moment-constrained optimal dividends: precommitment and consistent planning. (English) Zbl 1494.91174 Adv. Appl. Probab. 54, No. 2, 404-432 (2022). MSC: 91G50 93E20 93C27 91G80 PDFBibTeX XMLCite \textit{S. Christensen} and \textit{K. Lindensjö}, Adv. Appl. Probab. 54, No. 2, 404--432 (2022; Zbl 1494.91174) Full Text: DOI arXiv
Jin, Zhuo; Zuo, Quan Xu; Zou, Bin A perturbation approach to optimal investment, liability ratio, and dividend strategies. (English) Zbl 1492.91301 Scand. Actuar. J. 2022, No. 2, 165-188 (2022). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{Z. Jin} et al., Scand. Actuar. J. 2022, No. 2, 165--188 (2022; Zbl 1492.91301) Full Text: DOI arXiv
Ernst, Philip A.; Imerman, Michael B.; Shepp, Larry; Zhou, Quan Fiscal stimulus as an optimal control problem. (English) Zbl 1492.91214 Stochastic Processes Appl. 150, 1091-1108 (2022). MSC: 91B64 93E20 PDFBibTeX XMLCite \textit{P. A. Ernst} et al., Stochastic Processes Appl. 150, 1091--1108 (2022; Zbl 1492.91214) Full Text: DOI arXiv
Hata, Hiroaki; Sun, Li-Hsien Optimal investment and reinsurance of insurers with lognormal stochastic factor model. (English) Zbl 1486.91074 Math. Control Relat. Fields 12, No. 2, 531-566 (2022). MSC: 91G05 93E20 91G30 PDFBibTeX XMLCite \textit{H. Hata} and \textit{L.-H. Sun}, Math. Control Relat. Fields 12, No. 2, 531--566 (2022; Zbl 1486.91074) Full Text: DOI
Li, Na; Wang, Wei Optimal dividend and proportional reinsurance strategy under standard deviation premium principle. (English) Zbl 1484.91394 Bull. Malays. Math. Sci. Soc. (2) 45, No. 2, 869-888 (2022). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 91G05 PDFBibTeX XMLCite \textit{N. Li} and \textit{W. Wang}, Bull. Malays. Math. Sci. Soc. (2) 45, No. 2, 869--888 (2022; Zbl 1484.91394) Full Text: DOI
Hu, Hanlei; Lai, Shaoyong; Chen, Hongjing Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model. (English) Zbl 1490.91175 Discrete Dyn. Nat. Soc. 2022, Article ID 3974488, 14 p. (2022). MSC: 91G05 91G10 PDFBibTeX XMLCite \textit{H. Hu} et al., Discrete Dyn. Nat. Soc. 2022, Article ID 3974488, 14 p. (2022; Zbl 1490.91175) Full Text: DOI
Yu, Wenguang; Guo, Peng; Wang, Qi; Guan, Guofeng; Huang, Yujuan; Yu, Xinliang Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend. (English) Zbl 1494.91035 Adv. Difference Equ. 2021, Paper No. 220, 24 p. (2021). MSC: 91B05 91G40 91G70 PDFBibTeX XMLCite \textit{W. Yu} et al., Adv. Difference Equ. 2021, Paper No. 220, 24 p. (2021; Zbl 1494.91035) Full Text: DOI
Gajek, Lesław; Rudź, Marcin General methods for bounding multidimensional ruin probabilities in regime-switching models. (English) Zbl 1496.60090 Stochastics 93, No. 5, 764-779 (2021). MSC: 60J20 91G05 PDFBibTeX XMLCite \textit{L. Gajek} and \textit{M. Rudź}, Stochastics 93, No. 5, 764--779 (2021; Zbl 1496.60090) Full Text: DOI
Kang, Yao; Wang, Dehui; Cheng, Jianhua Risk models based on copulas for premiums and claim sizes. (English) Zbl 07533665 Commun. Stat., Theory Methods 50, No. 10, 2250-2269 (2021). MSC: 60J65 62P05 62-XX PDFBibTeX XMLCite \textit{Y. Kang} et al., Commun. Stat., Theory Methods 50, No. 10, 2250--2269 (2021; Zbl 07533665) Full Text: DOI
Yoshioka, Hidekazu; Yaegashi, Yuta Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions. (English) Zbl 1490.93135 J. Math. Ind. 11, Paper No. 16, 34 p. (2021). MSC: 93E20 93C27 49J40 49L20 PDFBibTeX XMLCite \textit{H. Yoshioka} and \textit{Y. Yaegashi}, J. Math. Ind. 11, Paper No. 16, 34 p. (2021; Zbl 1490.93135) Full Text: DOI
Bi, Junna; Cai, Jun; Zeng, Yan Equilibrium reinsurance-investment strategies with partial information and common shock dependence. (English) Zbl 1478.91160 Ann. Oper. Res. 307, No. 1-2, 1-24 (2021). MSC: 91G05 62P05 93E20 PDFBibTeX XMLCite \textit{J. Bi} et al., Ann. Oper. Res. 307, No. 1--2, 1--24 (2021; Zbl 1478.91160) Full Text: DOI
Bai, Yanfei; Zhou, Zhongbao; Xiao, Helu; Gao, Rui A Stackelberg reinsurance-investment game with asymmetric information and delay. (English) Zbl 1475.91282 Optimization 70, No. 10, 2131-2168 (2021). MSC: 91G05 91A65 91A15 91A80 91G80 PDFBibTeX XMLCite \textit{Y. Bai} et al., Optimization 70, No. 10, 2131--2168 (2021; Zbl 1475.91282) Full Text: DOI
Zhong, Wei; Zhao, Yongxia; Chen, Ping Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes. (English) Zbl 1476.93166 J. Ind. Manag. Optim. 17, No. 5, 2639-2667 (2021). MSC: 93E20 91G80 60G51 PDFBibTeX XMLCite \textit{W. Zhong} et al., J. Ind. Manag. Optim. 17, No. 5, 2639--2667 (2021; Zbl 1476.93166) Full Text: DOI
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming On a class of non-zero-sum stochastic differential dividend games with regime switching. (English) Zbl 1508.91030 Appl. Math. Comput. 397, Article ID 125956, 18 p. (2021). MSC: 91A15 60H30 60J28 91G05 93E20 PDFBibTeX XMLCite \textit{J. Zhang} et al., Appl. Math. Comput. 397, Article ID 125956, 18 p. (2021; Zbl 1508.91030) Full Text: DOI
A, Chun-Xiang; Gu, Ai-Lin; Shao, Yi Optimal reinsurance and investment strategy with delay in Heston’s SV model. (English) Zbl 1488.91088 J. Oper. Res. Soc. China 9, No. 2, 245-271 (2021). MSC: 91G05 93E20 34K50 PDFBibTeX XMLCite \textit{C.-X. A} et al., J. Oper. Res. Soc. China 9, No. 2, 245--271 (2021; Zbl 1488.91088) Full Text: DOI
Yoshioka, Hidekazu; Tsujimura, Motoh; Hamagami, Kunihiko; Yaegashi, Yuta; Yoshioka, Yumi HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation. (English) Zbl 1524.92128 Comput. Math. Appl. 96, 131-154 (2021). MSC: 92D40 93E20 93C27 65M06 35Q84 49L12 PDFBibTeX XMLCite \textit{H. Yoshioka} et al., Comput. Math. Appl. 96, 131--154 (2021; Zbl 1524.92128) Full Text: DOI arXiv
Zhou, Zhongbao; Bai, Yanfei; Xiao, Helu; Chen, Xu A non-zero-sum reinsurance-investment game with delay and asymmetric information. (English) Zbl 1474.90236 J. Ind. Manag. Optim. 17, No. 2, 909-936 (2021). MSC: 90B50 91B05 91G80 91A23 93E20 91A10 90C30 PDFBibTeX XMLCite \textit{Z. Zhou} et al., J. Ind. Manag. Optim. 17, No. 2, 909--936 (2021; Zbl 1474.90236) Full Text: DOI
Zhang, Nan; Qian, Linyi; Jin, Zhuo; Wang, Wei Optimal stop-loss reinsurance with joint utility constraints. (English) Zbl 1474.91166 J. Ind. Manag. Optim. 17, No. 2, 841-868 (2021). MSC: 91G05 91B16 PDFBibTeX XMLCite \textit{N. Zhang} et al., J. Ind. Manag. Optim. 17, No. 2, 841--868 (2021; Zbl 1474.91166) Full Text: DOI
Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. (English) Zbl 1468.91122 Scand. Actuar. J. 2021, No. 3, 198-217 (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 PDFBibTeX XMLCite \textit{M. Chen} et al., Scand. Actuar. J. 2021, No. 3, 198--217 (2021; Zbl 1468.91122) Full Text: DOI arXiv
Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints. (English) Zbl 1460.91241 Insur. Math. Econ. 96, 168-184 (2021). MSC: 91G05 91A15 91A80 PDFBibTeX XMLCite \textit{N. Wang} et al., Insur. Math. Econ. 96, 168--184 (2021; Zbl 1460.91241) Full Text: DOI
Li, Peng; Meng, Qingbin; Yuen, Kam C.; Zhou, Ming Optimal dividend and risk control policies in the presence of a fixed transaction cost. (English) Zbl 1465.91096 J. Comput. Appl. Math. 388, Article ID 113271, 14 p. (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{P. Li} et al., J. Comput. Appl. Math. 388, Article ID 113271, 14 p. (2021; Zbl 1465.91096) Full Text: DOI
Zhu, Jinxia Optimal impulse control for growth-restricted linear diffusions with regime switching. (English) Zbl 1455.49025 SIAM J. Control Optim. 59, No. 1, 185-222 (2021). MSC: 49N25 60J60 91G80 PDFBibTeX XMLCite \textit{J. Zhu}, SIAM J. Control Optim. 59, No. 1, 185--222 (2021; Zbl 1455.49025) Full Text: DOI
Zhang, Liming; Wang, Rongming; Wei, Jiaqin Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model. (English) Zbl 07660243 Stat. Theory Relat. Fields 4, No. 2, 214-227 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{L. Zhang} et al., Stat. Theory Relat. Fields 4, No. 2, 214--227 (2020; Zbl 07660243) Full Text: DOI
Meng, Qingbin; Bi, Junna On the dividends of the risk model with Markovian barrier. (English) Zbl 1511.91118 Commun. Stat., Theory Methods 49, No. 5, 1272-1280 (2020). MSC: 91G05 62P05 93E20 PDFBibTeX XMLCite \textit{Q. Meng} and \textit{J. Bi}, Commun. Stat., Theory Methods 49, No. 5, 1272--1280 (2020; Zbl 1511.91118) Full Text: DOI
Deng, Chao; Yao, Haixiang; Chen, Yan Optimal investment and risk control problems with delay for an insurer in defaultable market. (English) Zbl 1476.91123 J. Ind. Manag. Optim. 16, No. 5, 2563-2579 (2020). MSC: 91G05 91B55 60K05 PDFBibTeX XMLCite \textit{C. Deng} et al., J. Ind. Manag. Optim. 16, No. 5, 2563--2579 (2020; Zbl 1476.91123) Full Text: DOI
Dong, Hua; Zhao, Xiang-hua Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin. (English) Zbl 1474.91150 Appl. Math., Ser. B (Engl. Ed.) 35, No. 3, 349-358 (2020). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{H. Dong} and \textit{X.-h. Zhao}, Appl. Math., Ser. B (Engl. Ed.) 35, No. 3, 349--358 (2020; Zbl 1474.91150) Full Text: DOI
Gajek, Lesław; Rudź, Marcin Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model. (English) Zbl 1455.91222 Methodol. Comput. Appl. Probab. 22, No. 4, 1507-1528 (2020). MSC: 91G05 60J20 PDFBibTeX XMLCite \textit{L. Gajek} and \textit{M. Rudź}, Methodol. Comput. Appl. Probab. 22, No. 4, 1507--1528 (2020; Zbl 1455.91222) Full Text: DOI
Gajek, Lesław; Rudź, Marcin Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model. (English) Zbl 1457.91330 Methodol. Comput. Appl. Probab. 22, No. 4, 1493-1506 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60J20 60J22 PDFBibTeX XMLCite \textit{L. Gajek} and \textit{M. Rudź}, Methodol. Comput. Appl. Probab. 22, No. 4, 1493--1506 (2020; Zbl 1457.91330) Full Text: DOI
Lindensjö, Kristoffer; Lindskog, Filip Optimal dividends and capital injection under dividend restrictions. (English) Zbl 1454.91200 Math. Methods Oper. Res. 92, No. 3, 461-487 (2020). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{K. Lindensjö} and \textit{F. Lindskog}, Math. Methods Oper. Res. 92, No. 3, 461--487 (2020; Zbl 1454.91200) Full Text: DOI arXiv
Yoshioka, Hidekazu; Yoshioka, Yumi Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems. (English) Zbl 1453.76183 Comput. Math. Appl. 80, No. 9, 2057-2072 (2020). MSC: 76M35 76M20 93E20 86A05 PDFBibTeX XMLCite \textit{H. Yoshioka} and \textit{Y. Yoshioka}, Comput. Math. Appl. 80, No. 9, 2057--2072 (2020; Zbl 1453.76183) Full Text: DOI arXiv
Zhou, Zhou; Jin, Zhuo Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time. (English) Zbl 1452.91286 Insur. Math. Econ. 94, 100-108 (2020). MSC: 91G05 91A80 PDFBibTeX XMLCite \textit{Z. Zhou} and \textit{Z. Jin}, Insur. Math. Econ. 94, 100--108 (2020; Zbl 1452.91286) Full Text: DOI
Xu, Lin; Xu, Shaosheng; Yao, Dingjun Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance. (English) Zbl 1448.91269 Comput. Math. Appl. 79, No. 3, 716-734 (2020). MSC: 91G05 91B64 60J28 49L25 PDFBibTeX XMLCite \textit{L. Xu} et al., Comput. Math. Appl. 79, No. 3, 716--734 (2020; Zbl 1448.91269) Full Text: DOI
Janeček, Karel; Li, Zheng; Sîrbu, Mihai Optimal investment with high-watermark fee in a multidimensional jump diffusion model. (English) Zbl 1448.91272 SIAM J. Financ. Math. 11, No. 3, 750-787 (2020). MSC: 91G10 93E20 49L20 PDFBibTeX XMLCite \textit{K. Janeček} et al., SIAM J. Financ. Math. 11, No. 3, 750--787 (2020; Zbl 1448.91272) Full Text: DOI Link
Wen, Yuzhen; Yin, Chuancun Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate. (English) Zbl 1448.91268 J. Funct. Spaces 2020, Article ID 4051969, 13 p. (2020). MSC: 91G05 91G30 PDFBibTeX XMLCite \textit{Y. Wen} and \textit{C. Yin}, J. Funct. Spaces 2020, Article ID 4051969, 13 p. (2020; Zbl 1448.91268) Full Text: DOI
Avanzi, Benjamin; Lau, Hayden; Wong, Bernard Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs. (English) Zbl 1447.91126 Insur. Math. Econ. 93, 315-332 (2020). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{B. Avanzi} et al., Insur. Math. Econ. 93, 315--332 (2020; Zbl 1447.91126) Full Text: DOI arXiv
Xu, Ran; Woo, Jae-Kyung Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments. (English) Zbl 1445.91055 Insur. Math. Econ. 92, 1-16 (2020). MSC: 91G05 49L25 PDFBibTeX XMLCite \textit{R. Xu} and \textit{J.-K. Woo}, Insur. Math. Econ. 92, 1--16 (2020; Zbl 1445.91055) Full Text: DOI
Perera, Sandun; Gupta, Varun; Buckley, Winston Management of online server congestion using optimal demand throttling. (English) Zbl 1441.90009 Eur. J. Oper. Res. 285, No. 1, 324-342 (2020). MSC: 90B05 93E20 PDFBibTeX XMLCite \textit{S. Perera} et al., Eur. J. Oper. Res. 285, No. 1, 324--342 (2020; Zbl 1441.90009) Full Text: DOI
Tian, Linlin; Bai, Lihua; Guo, Junyi Optimal singular dividend problem under the Sparre Andersen model. (English) Zbl 1434.49025 J. Optim. Theory Appl. 184, No. 2, 603-626 (2020). MSC: 49L20 49L25 91G05 93E20 PDFBibTeX XMLCite \textit{L. Tian} et al., J. Optim. Theory Appl. 184, No. 2, 603--626 (2020; Zbl 1434.49025) Full Text: DOI arXiv
Yang, Chen; Sendova, Kristina P.; Li, Zhong Parisian ruin with a threshold dividend strategy under the dual Lévy risk model. (English) Zbl 1431.91345 Insur. Math. Econ. 90, 135-150 (2020). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{C. Yang} et al., Insur. Math. Econ. 90, 135--150 (2020; Zbl 1431.91345) Full Text: DOI
Yan, Tingjin; Wong, Hoi Ying Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility. (English) Zbl 1431.91347 Insur. Math. Econ. 90, 105-119 (2020). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{T. Yan} and \textit{H. Y. Wong}, Insur. Math. Econ. 90, 105--119 (2020; Zbl 1431.91347) Full Text: DOI
Xu, Lin; Yao, Dingjun; Cheng, Gongpin Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax. (English) Zbl 1438.91117 J. Ind. Manag. Optim. 16, No. 1, 325-356 (2020). MSC: 91G05 91B64 93E20 PDFBibTeX XMLCite \textit{L. Xu} et al., J. Ind. Manag. Optim. 16, No. 1, 325--356 (2020; Zbl 1438.91117) Full Text: DOI
Wang, Yunyun; Yu, Wenguang; Huang, Yujuan Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income. (English) Zbl 1453.91040 Discrete Dyn. Nat. Soc. 2019, Article ID 5071268, 18 p. (2019). MSC: 91B05 60K10 62P05 PDFBibTeX XMLCite \textit{Y. Wang} et al., Discrete Dyn. Nat. Soc. 2019, Article ID 5071268, 18 p. (2019; Zbl 1453.91040) Full Text: DOI
Huang, Yujuan; Yu, Wenguang; Pan, Yu; Cui, Chaoran Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model. (English) Zbl 1453.91039 Discrete Dyn. Nat. Soc. 2019, Article ID 3607201, 15 p. (2019). MSC: 91B05 60G51 62P05 PDFBibTeX XMLCite \textit{Y. Huang} et al., Discrete Dyn. Nat. Soc. 2019, Article ID 3607201, 15 p. (2019; Zbl 1453.91039) Full Text: DOI
Sun, Jingyun; Yao, Haixiang; Kang, Zhilin Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks. (English) Zbl 1427.91242 Insur. Math. Econ. 89, 157-170 (2019). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{J. Sun} et al., Insur. Math. Econ. 89, 157--170 (2019; Zbl 1427.91242) Full Text: DOI
Chen, Peimin; Luo, Xiankang Stochastic optimal control on dividend policies with bankruptcy. (English) Zbl 1479.91435 Optimization 68, No. 12, 2313-2333 (2019). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G50 91G05 93E20 PDFBibTeX XMLCite \textit{P. Chen} and \textit{X. Luo}, Optimization 68, No. 12, 2313--2333 (2019; Zbl 1479.91435) Full Text: DOI
Dong, Hua; Zhou, Xiaowen On a spectrally negative Lévy risk process with periodic dividends and capital injections. (English) Zbl 1425.91221 Stat. Probab. Lett. 155, Article ID 108589, 9 p. (2019). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{H. Dong} and \textit{X. Zhou}, Stat. Probab. Lett. 155, Article ID 108589, 9 p. (2019; Zbl 1425.91221) Full Text: DOI
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, Wenjun Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion. (English) Zbl 1425.91238 Insur. Math. Econ. 88, 159-180 (2019). MSC: 91B30 91G40 91A80 PDFBibTeX XMLCite \textit{H. Zhao} et al., Insur. Math. Econ. 88, 159--180 (2019; Zbl 1425.91238) Full Text: DOI
Zhang, Nan; Jin, Zhuo; Qian, Linyi; Fan, Kun Stochastic differential reinsurance games with capital injections. (English) Zbl 1425.91237 Insur. Math. Econ. 88, 7-18 (2019). MSC: 91B30 91A15 91A23 PDFBibTeX XMLCite \textit{N. Zhang} et al., Insur. Math. Econ. 88, 7--18 (2019; Zbl 1425.91237) Full Text: DOI
Liang, Zhibin; Young, Virginia R. Optimal dividends with an affine penalty. (English) Zbl 1422.91359 J. Appl. Math. Comput. 60, No. 1-2, 703-730 (2019). MSC: 91B30 93E20 PDFBibTeX XMLCite \textit{Z. Liang} and \textit{V. R. Young}, J. Appl. Math. Comput. 60, No. 1--2, 703--730 (2019; Zbl 1422.91359) Full Text: DOI
Brachetta, Matteo; Ceci, C. Optimal proportional reinsurance and investment for stochastic factor models. (English) Zbl 1410.91257 Insur. Math. Econ. 87, 15-33 (2019). MSC: 91B30 93E20 60G57 PDFBibTeX XMLCite \textit{M. Brachetta} and \textit{C. Ceci}, Insur. Math. Econ. 87, 15--33 (2019; Zbl 1410.91257) Full Text: DOI arXiv
Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi Robust non-zero-sum investment and reinsurance game with default risk. (English) Zbl 1419.91386 Insur. Math. Econ. 84, 115-132 (2019). MSC: 91B30 91A15 PDFBibTeX XMLCite \textit{N. Wang} et al., Insur. Math. Econ. 84, 115--132 (2019; Zbl 1419.91386) Full Text: DOI
Xue, Xiaole; Wei, Pengyu; Weng, Chengguo Derivatives trading for insurers. (English) Zbl 1419.91387 Insur. Math. Econ. 84, 40-53 (2019). MSC: 91B30 91G20 91G10 93E20 PDFBibTeX XMLCite \textit{X. Xue} et al., Insur. Math. Econ. 84, 40--53 (2019; Zbl 1419.91387) Full Text: DOI
Cheng, Gongpin; Wang, Rongming; Yao, Dingjun Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs. (English) Zbl 1412.91039 J. Ind. Manag. Optim. 14, No. 1, 371-395 (2018). MSC: 91B30 93E20 PDFBibTeX XMLCite \textit{G. Cheng} et al., J. Ind. Manag. Optim. 14, No. 1, 371--395 (2018; Zbl 1412.91039) Full Text: DOI
Pérez, José-Luis; Yamazaki, Kazutoshi; Yu, Xiang On the bail-out optimal dividend problem. (English) Zbl 1402.60055 J. Optim. Theory Appl. 179, No. 2, 553-568 (2018). MSC: 60G51 93E20 49J40 PDFBibTeX XMLCite \textit{J.-L. Pérez} et al., J. Optim. Theory Appl. 179, No. 2, 553--568 (2018; Zbl 1402.60055) Full Text: DOI arXiv
Wang, Wenyuan; Zhou, Xiaowen General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes. (English) Zbl 1396.91314 J. Appl. Probab. 55, No. 2, 513-542 (2018). MSC: 91B30 60G51 93E20 PDFBibTeX XMLCite \textit{W. Wang} and \textit{X. Zhou}, J. Appl. Probab. 55, No. 2, 513--542 (2018; Zbl 1396.91314) Full Text: DOI
Huang, Ya; Ouyang, Yao; Tang, Lingxiao; Zhou, Jieming Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities. (English) Zbl 1458.91184 J. Comput. Appl. Math. 344, 532-552 (2018). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 PDFBibTeX XMLCite \textit{Y. Huang} et al., J. Comput. Appl. Math. 344, 532--552 (2018; Zbl 1458.91184) Full Text: DOI
Gajek, Lesław; Rudź, Marcin Banach contraction principle and ruin probabilities in regime-switching models. (English) Zbl 1402.91195 Insur. Math. Econ. 80, 45-53 (2018). MSC: 91B30 54H25 PDFBibTeX XMLCite \textit{L. Gajek} and \textit{M. Rudź}, Insur. Math. Econ. 80, 45--53 (2018; Zbl 1402.91195) Full Text: DOI
Eckert, Johanna; Gatzert, Nadine Risk- and value-based management for non-life insurers under solvency constraints. (English) Zbl 1403.91194 Eur. J. Oper. Res. 266, No. 2, 761-774 (2018). MSC: 91B30 PDFBibTeX XMLCite \textit{J. Eckert} and \textit{N. Gatzert}, Eur. J. Oper. Res. 266, No. 2, 761--774 (2018; Zbl 1403.91194) Full Text: DOI
Luo, Xiankang; Chen, Peimin; Ma, Jiangming The optimal dividend payout model with terminal values and its application. (English) Zbl 1427.91239 Math. Probl. Eng. 2017, Article ID 5285690, 15 p. (2017). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{X. Luo} et al., Math. Probl. Eng. 2017, Article ID 5285690, 15 p. (2017; Zbl 1427.91239) Full Text: DOI
Yang, Chen; Sendova, Kristian P.; Li, Zhong On the Parisian ruin of the dual Lévy risk model. (English) Zbl 1416.91226 J. Appl. Probab. 54, No. 4, 1193-1212 (2017). MSC: 91B30 60G51 60K10 PDFBibTeX XMLCite \textit{C. Yang} et al., J. Appl. Probab. 54, No. 4, 1193--1212 (2017; Zbl 1416.91226) Full Text: DOI
Cheung, Eric C. K.; Wong, Jeff T. Y. On the dual risk model with Parisian implementation delays in dividend payments. (English) Zbl 1394.91204 Eur. J. Oper. Res. 257, No. 1, 159-173 (2017). MSC: 91B30 60G51 62P05 PDFBibTeX XMLCite \textit{E. C. K. Cheung} and \textit{J. T. Y. Wong}, Eur. J. Oper. Res. 257, No. 1, 159--173 (2017; Zbl 1394.91204) Full Text: DOI
Pérez, José-Luis; Yamazaki, Kazutoshi On the optimality of periodic barrier strategies for a spectrally positive Lévy process. (English) Zbl 1422.91372 Insur. Math. Econ. 77, 1-13 (2017). MSC: 91B30 60G51 93E20 PDFBibTeX XMLCite \textit{J.-L. Pérez} and \textit{K. Yamazaki}, Insur. Math. Econ. 77, 1--13 (2017; Zbl 1422.91372) Full Text: DOI arXiv
Chen, Peimin; Li, Bo Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy. (English) Zbl 1405.91677 Discrete Dyn. Nat. Soc. 2017, Article ID 2693568, 14 p. (2017). MSC: 91G50 93E20 PDFBibTeX XMLCite \textit{P. Chen} and \textit{B. Li}, Discrete Dyn. Nat. Soc. 2017, Article ID 2693568, 14 p. (2017; Zbl 1405.91677) Full Text: DOI
Zhao, Hui; Weng, ChengGuo; Shen, Yang; Zeng, Yan Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. (English) Zbl 1367.60088 Sci. China, Math. 60, No. 2, 317-344 (2017). MSC: 60H30 60H10 91B30 91G80 90C39 PDFBibTeX XMLCite \textit{H. Zhao} et al., Sci. China, Math. 60, No. 2, 317--344 (2017; Zbl 1367.60088) Full Text: DOI
Zhao, Yongxia; Wang, Rongming; Yin, Chuancun Optimal dividends and capital injections for a spectrally positive Lévy process. (English) Zbl 1362.93171 J. Ind. Manag. Optim. 13, No. 1, 1-21 (2017). MSC: 93E20 60G51 91G80 PDFBibTeX XMLCite \textit{Y. Zhao} et al., J. Ind. Manag. Optim. 13, No. 1, 1--21 (2017; Zbl 1362.93171) Full Text: DOI
Chen, Lv; Yang, Hailiang Optimal reinsurance and investment strategy with two piece utility function. (English) Zbl 1406.91197 J. Ind. Manag. Optim. 13, No. 2, 737-755 (2017). MSC: 91B30 91B16 60H30 93E20 PDFBibTeX XMLCite \textit{L. Chen} and \textit{H. Yang}, J. Ind. Manag. Optim. 13, No. 2, 737--755 (2017; Zbl 1406.91197) Full Text: DOI
Zhao, Yongxia; Chen, Ping; Yang, Hailiang Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. (English) Zbl 1394.91243 Insur. Math. Econ. 74, 135-146 (2017). MSC: 91B30 60G51 93E20 PDFBibTeX XMLCite \textit{Y. Zhao} et al., Insur. Math. Econ. 74, 135--146 (2017; Zbl 1394.91243) Full Text: DOI Link
Yao, Dingjun; Wang, Rongming; Xu, Lin Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle. (English) Zbl 1411.91326 Commun. Stat., Theory Methods 46, No. 5, 2519-2541 (2017). MSC: 91B30 93E20 PDFBibTeX XMLCite \textit{D. Yao} et al., Commun. Stat., Theory Methods 46, No. 5, 2519--2541 (2017; Zbl 1411.91326) Full Text: DOI
Zhu, Huiming; Deng, Chao; Deng, Yingchun; Huang, Ya Optimal financing and dividend policy with Markovian switching regimes. (English) Zbl 1411.91329 Commun. Stat., Theory Methods 46, No. 5, 2161-2180 (2017). MSC: 91B30 60J75 90C39 PDFBibTeX XMLCite \textit{H. Zhu} et al., Commun. Stat., Theory Methods 46, No. 5, 2161--2180 (2017; Zbl 1411.91329) Full Text: DOI
Jin, Zhuo; Yang, Hai-liang; Yin, G. A numerical approach to optimal dividend policies with capital injections and transaction costs. (English) Zbl 1360.91153 Acta Math. Appl. Sin., Engl. Ser. 33, No. 1, 221-238 (2017). MSC: 91G60 65C30 60H35 65C05 91B30 93E20 PDFBibTeX XMLCite \textit{Z. Jin} et al., Acta Math. Appl. Sin., Engl. Ser. 33, No. 1, 221--238 (2017; Zbl 1360.91153) Full Text: DOI Link
Gu, Ailing; Viens, Frederi G.; Yi, Bo Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity. (English) Zbl 1394.91216 Insur. Math. Econ. 72, 235-249 (2017). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{A. Gu} et al., Insur. Math. Econ. 72, 235--249 (2017; Zbl 1394.91216) Full Text: DOI
Cheng, Gongpin; Xu, Lin Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value. (English) Zbl 1352.49024 Math. Control Relat. Fields 7, No. 1, 1-19 (2017). MSC: 49L20 91G80 91G50 PDFBibTeX XMLCite \textit{G. Cheng} and \textit{L. Xu}, Math. Control Relat. Fields 7, No. 1, 1--19 (2017; Zbl 1352.49024) Full Text: DOI
Zhu, Huiming; Huang, Ya; Zhou, Jieming; Yang, Xiangqun; Deng, Chao Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market. (English) Zbl 1376.91101 ANZIAM J. 57, No. 3, 352-368 (2016). MSC: 91B30 60J75 PDFBibTeX XMLCite \textit{H. Zhu} et al., ANZIAM J. 57, No. 3, 352--368 (2016; Zbl 1376.91101) Full Text: DOI
Cheng, Jian-hua; Wang, De-hui Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums. (English) Zbl 1359.62443 Acta Math. Appl. Sin., Engl. Ser. 32, No. 4, 1053-1066 (2016). MSC: 62P05 60K05 91B30 PDFBibTeX XMLCite \textit{J.-h. Cheng} and \textit{D.-h. Wang}, Acta Math. Appl. Sin., Engl. Ser. 32, No. 4, 1053--1066 (2016; Zbl 1359.62443) Full Text: DOI