CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM

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Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs (2009, background): “We refer the reader to Cadenillas et al. (2006), which consider the optimal dividends policy of the insurance company with the fixed and proportional transaction costs, and without the equity issuance. Motivated by the work of He and Liang (2007), Harrison and Taksar (1983) and Sethi and Taksar (200”
Optimal financing and dividend control of the insurance company with proportional reinsurance policy (2008, background): “For some applications of control theory in insurance mathematics, see Harrison and Taksar (1983), Højgaard and Taksar (1998a; 1998b), MartinLöf (1983), Asmussen and Taksar (1997) and Cadenillas et al. (2006).”
Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs (2007, background): “References here are Højgaard and Taksar (2004) and Choulli et al. (2003), when d0 = 0, and Cadenillas et al. (2006), when d0 > 0.”