Pesquisa de referências

Optimal dividend problem with a nonlinear regular-singular stochastic control

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Optimal dividend problem with a nonlinear regular-singular stochastic control</title>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130010434">
<namePart>Chen, Mi</namePart>
<nameIdentifier>MAPA20130010434</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2013</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">In this paper, a problem with a nonlinear regular-singular stochastic control is studied for a big insurance portfolio. We assume that the reinsurance premium is calculated according to the exponential premium principle which makes the stochastic control problem nonlinear. Both non-cheap and cheap reinsurance are investigated. The objective of the insurer is to determine the optimal reinsurance and dividend policy so as to maximize the expected discounted dividends until ruin. Bounded dividend rates and unbounded dividend rates are considered. In both cases, explicit expressions for the value function and the corresponding optimal strategies are obtained. Finally, a numerical example is presented, which shows the impacts of risk aversion of the reinsurance company on the optimal value function and the retention level for reinsurance.</abstract>
<note type="statement of responsibility">Mi Chen, Xiaofan Peng,  Junyi Guo</note>
<classification authority="">6</classification>
<location>
<url displayLabel="MÁS INFORMACIÓN" usage="primary display">mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A</url>
</location>
<relatedItem type="host">
<titleInfo>
<title>Insurance : mathematics and economics</title>
</titleInfo>
<originInfo>
<publisher>Oxford : Elsevier, 1990-</publisher>
</originInfo>
<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>06/05/2013 Volumen 52 Número 3 - mayo 2013 </text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">130731</recordCreationDate>
<recordChangeDate encoding="iso8601">20130829115308.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20130024448</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>