Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs

By Bjarne Højgaard. 2002

65 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/07e3610df1f658723c49f387f7dcd348494342c9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Kristina P. Pavlova
2. Shuanming Li
3. Pablo Azcue
4. Nora Muler
5. Hansjörg Albrecher *
6. Yi Lu
7. Andreas E. Kyprianou
8. E. Shiu

In Finance

1. Kristina P. Pavlova
2. Yi Lu
3. Pablo Azcue
4. Nora Muler
5. E. Shiu
6. Hans U. Gerber
7. Shuanming Li
8. Christian Hipp

In Management Science and Operations Research

1. Shuanming Li
2. Kristina P. Pavlova
3. Yi Lu
4. Hansjörg Albrecher *
5. Pablo Azcue
6. Nora Muler
7. Hans U. Gerber
8. Andreas E. Kyprianou

Citations in the corpus

• Asymptotics of ruin probabilities for controlled risk processes in the small claims case (2004, background): “Other optimisation problems in insurance with different objective functions had been considered by Gerber [4], Højgaard & Taksar [9,10], and Højgaard [8].”
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL (2005, background): “Also in the Cramér-Lundberg setting, Højgaard (2002) considered the problem of finding an optimal premium policy and dividend barrier strategy maximizing the discounted dividends payouts in the case when the insurance company controls the relative safety loadings.”
• Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model (2007, background): “…and books, including Bühlmann (1970), Segerdahl (1970), Gerber (1972, 1979, 1981), Paulsen and Gjessing (1997), Albrecher and Kainhofer (2002), Højgaard (2002), Lin, Willmot, and Drekic (2003), Dickson and Waters (2004), Li and Garrido (2004), Albrecher, Claramunt, and Marmol (2005),…”
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion (2006, background): “(14) To prove that v1(u) and v2(u) are linearly independent, we assume that there are constants c1 and c2 such that c1 v1(u) + c2 v2(u) ≡ 0, for any u ≥ 0.”
• Some Optimal Dividends Problems (2004, background): “…more sophisticated models, e.g. Paulsen and Gjessing (1997), who consider a claims process which includes a Brownian motion element and stochastic interest on reserves driven by an independent Brownian motion, and Højgaard (2002), who considers a process with dynamic control of the premium income.”
• Optimal Dividends (2004, background): “…Gjessing (1997), Gerber and Shiu (1998, 2003a,b), Højgaard and Taksar (1999), Jeanblanc-Picqué and Shiryaev (1995), Siegl and Tichy (1999), Albrecher and Kainhofer (2002), Bühlmann (2002), Højgaard (2002), Claramunt, Mármol, and Alegre (2003), Irbäck (2003), and Lin, Willmot, and Drekic (2003).”
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends (2003, background): “Some recent papers are Albrecher and Kainhofer (2002), Asmussen and Taksar (1997), Gerber and Shiu (1998, 2003b), Højgaard (2002), Højgaard and Taksar (1999), Paulsen and Gjessing (1997), and Siegl and Tichy (1999).”
• The compound Poisson risk model with a threshold dividend strategy (2006, background): “…al. (2005), Albrecher and Kainhofer (2002), Bühlmann (1970, Section 6.4.9), Dickson and Waters (2004), Gerber (1972), Gerber (1973), Gerber (1979), Gerber (1981), Gerber and Shiu (1998), Gerber and Shiu (2005a), Højgaard (2002), Lin et al. (2003), Paulsen and Gjessing (1997), and Segerdahl (1970).”