Stochastic Control in Insurance

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On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (2011, methodology): “A direct approach was developed in Schmidli [37] where a recursive algorithm was provided to find, in terms of solutions to certain integro-differential equations, the value function of the optimal dividend problem under the Cramér–Lundberg model in the absence of a penalty.”
Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs (2014, methodology): “Similar to the proof of Lemma 3.3, we use the arguments of Kulenko and Schmidli [20].”
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, background): “Zhang et al. (2009) extended the model of Bai & Guo (2008) by incorporating transaction costs. Cao & Wan (2009) extended the model in Browne (1995) by incorporating proportional reinsurance and obtained optimal investment-reinsurance strategies that maximize the expected exponential utility and the ”