A dynamic optimal reinsurance strategy with capital injections in the Cramer-Lundberg model
Fuente:
arXiv
Saved in:
| Main Authors: | Aljaberi, Zakaria, Khedher, Asma, Mnif, Mohamed |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
On optimal periodic dividend and capital injection strategies for general Lévy models
by: Mata, Dante, et al.
Published: (2025)
by: Mata, Dante, et al.
Published: (2025)
Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)
by: Shi, Xiaomin, et al.
Published: (2024)
Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy
by: Guan, Chonghu, et al.
Published: (2026)
by: Guan, Chonghu, et al.
Published: (2026)
Law-invariant BSDEs and dynamic risk measures: new characterizations
by: Bensaid, Zakaria, et al.
Published: (2026)
by: Bensaid, Zakaria, et al.
Published: (2026)
On stochastic control under Poisson observations: optimality of a barrier strategy in a general Lévy model
by: Noba, Kei, et al.
Published: (2022)
by: Noba, Kei, et al.
Published: (2022)
Optimal dividend and capital injection under self-exciting claims
by: Aubert, Paulin, et al.
Published: (2025)
by: Aubert, Paulin, et al.
Published: (2025)
Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)
by: Shi, Xiaomin, et al.
Published: (2024)
Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin
by: Locas, Félix, et al.
Published: (2023)
by: Locas, Félix, et al.
Published: (2023)
An optimal advertising model with carryover effect and mean field terms
by: Gozzi, Fausto, et al.
Published: (2024)
by: Gozzi, Fausto, et al.
Published: (2024)
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
by: Alasseur, Clémence, et al.
Published: (2024)
by: Alasseur, Clémence, et al.
Published: (2024)
Stochastic Maximum Principle for optimal advertising models with delay and non-convex control space
by: Guatteri, Giuseppina, et al.
Published: (2024)
by: Guatteri, Giuseppina, et al.
Published: (2024)
Curvature of optimal transport with respect to the cost and applications to inverse optimal transport
by: Peyré, Gabriel, et al.
Published: (2026)
by: Peyré, Gabriel, et al.
Published: (2026)
On the irreducibility and convergence of a class of nonsmooth nonlinear state-space models on manifolds and their applications to zeroth-order optimization
by: Gissler, Armand, et al.
Published: (2024)
by: Gissler, Armand, et al.
Published: (2024)
On optimal control of reflected diffusions
by: Jonsson, Adam
Published: (2023)
by: Jonsson, Adam
Published: (2023)
Duality methods in stochastic optimal control
by: Bank, Peter, et al.
Published: (2026)
by: Bank, Peter, et al.
Published: (2026)
Concentration for random Euclidean combinatorial optimization
by: D'Achille, Matteo, et al.
Published: (2026)
by: D'Achille, Matteo, et al.
Published: (2026)
On the optimal objective value of random linear programs
by: Bakhshi, Marzieh, et al.
Published: (2024)
by: Bakhshi, Marzieh, et al.
Published: (2024)
Remarks on multi-period martingale optimal transport
by: Pass, Brendan, et al.
Published: (2025)
by: Pass, Brendan, et al.
Published: (2025)
Blackwell optimality in risk-sensitive stochastic control
by: Pitera, Marcin, et al.
Published: (2026)
by: Pitera, Marcin, et al.
Published: (2026)
Mean-field optimal control with stochastic leaders
by: Zimper, Sebastian, et al.
Published: (2025)
by: Zimper, Sebastian, et al.
Published: (2025)
A stochastic optimization algorithm for revenue maximization in a service system with balking customers
by: Bodas, Shreehari Anand, et al.
Published: (2025)
by: Bodas, Shreehari Anand, et al.
Published: (2025)
Stochastic optimal control of Lévy tax processes with bailouts
by: Ghanim, Dalal Al, et al.
Published: (2024)
by: Ghanim, Dalal Al, et al.
Published: (2024)
Equilibrium strategies in time-inconsistent stochastic control problems with constraints: necessary conditions
by: Mastrogiacomo, Elisa, et al.
Published: (2021)
by: Mastrogiacomo, Elisa, et al.
Published: (2021)
An optimal transport foundation for a class of dynamically consistent risk measures
by: Fuhrmann, Sven, et al.
Published: (2026)
by: Fuhrmann, Sven, et al.
Published: (2026)
Continuous-time optimal control for trajectory planning under uncertainty
by: Valli, Ange, et al.
Published: (2024)
by: Valli, Ange, et al.
Published: (2024)
Coarse correlated equilibria for continuous time mean field games in open loop strategies
by: Campi, Luciano, et al.
Published: (2023)
by: Campi, Luciano, et al.
Published: (2023)
Optimal reinsurance from an optimal transport perspective
by: Acciaio, Beatrice, et al.
Published: (2023)
by: Acciaio, Beatrice, et al.
Published: (2023)
Uniform exponential convergence of SAA with AMIS and asymptotics of its optimal value
by: Zhang, Wenjin, et al.
Published: (2024)
by: Zhang, Wenjin, et al.
Published: (2024)
Hopf-Lax approximation for value functions of Lévy optimal control problems
by: Kupper, Michael, et al.
Published: (2025)
by: Kupper, Michael, et al.
Published: (2025)
Maximum principle for optimal control of stochastic evolution equations with recursive utilities
by: Liu, Guomin, et al.
Published: (2021)
by: Liu, Guomin, et al.
Published: (2021)
Mean-field games of optimal stopping: master equation and weak equilibria
by: Possamaï, Dylan, et al.
Published: (2023)
by: Possamaï, Dylan, et al.
Published: (2023)
Global-in-time optimal control of stochastic third-grade fluids with additive noise
by: Kinra, Kush, et al.
Published: (2025)
by: Kinra, Kush, et al.
Published: (2025)
Maximum principle for recursive optimal control problem of stochastic delay evolution equations
by: Liu, Guomin, et al.
Published: (2023)
by: Liu, Guomin, et al.
Published: (2023)
An entropy penalized approach for stochastic optimization with marginal law constraints. Complete version
by: Bourdais, Thibaut, et al.
Published: (2025)
by: Bourdais, Thibaut, et al.
Published: (2025)
Existence of optimal controls for stochastic partial differential equations with fully local monotone coefficients
by: Zong, Gaofeng
Published: (2025)
by: Zong, Gaofeng
Published: (2025)
Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk
by: de Crescenzo, Anna, et al.
Published: (2025)
by: de Crescenzo, Anna, et al.
Published: (2025)
Langevin dynamics for the probability of finite state Markov processes
by: Li, Wuchen
Published: (2023)
by: Li, Wuchen
Published: (2023)
Controllability concepts for mean-field dynamics with reduced-rank coefficients
by: Goreac, Dan, et al.
Published: (2025)
by: Goreac, Dan, et al.
Published: (2025)
A mean field Jacobi process for modeling sustainable tourism
by: Yoshioka, Hidekazu
Published: (2024)
by: Yoshioka, Hidekazu
Published: (2024)
Optimal control problems with generalized mean-field dynamics and viscosity solution to Master Bellman equation
by: Buckdahn, Rainer, et al.
Published: (2024)
by: Buckdahn, Rainer, et al.
Published: (2024)
Similar Items
-
On optimal periodic dividend and capital injection strategies for general Lévy models
by: Mata, Dante, et al.
Published: (2025) -
Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024) -
Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy
by: Guan, Chonghu, et al.
Published: (2026) -
Law-invariant BSDEs and dynamic risk measures: new characterizations
by: Bensaid, Zakaria, et al.
Published: (2026) -
On stochastic control under Poisson observations: optimality of a barrier strategy in a general Lévy model
by: Noba, Kei, et al.
Published: (2022)