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Scandinavian Actuarial Journal Volume 2021, 2021 - Issue 4
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Research Article

Optimal dividend strategy for an insurance group with contagious default risk

Zhuo Jina Centre for Actuarial Studies, Department of Economics, The University of Melbourne, Parkville, VIC, AustraliaView further author information
,
Huafu Liaob School of Mathematical Sciences, University of Science and Technology of China, Hefei, Anhui, People's Republic of ChinaView further author information
,
Yue Yangc Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong KongView further author information
&
Xiang Yuc Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong KongCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-4053-7876View further author information
ORCID Icon
Pages 335-361 | Received 11 Jul 2020, Accepted 29 Oct 2020, Published online: 15 Nov 2020

Citations (8)

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Read on this site (1)

Zhuo Jin, Zuo Quan Xu & Bin Zou. (2022) A perturbation approach to optimal investment, liability ratio, and dividend strategies. Scandinavian Actuarial Journal 2022:2, pages 165-188.
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Articles from other publishers (7)

Lijun Bo, Shihua Wang & Xiang Yu. (2024) Mean field game of optimal relative investment with jump risk. Science China Mathematics 67:5, pages 1159-1188.
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Wenyuan Wang, Xiang Yu & Xiaowen Zhou. (2023) On Optimality of Barrier Dividend Control Under Endogenous Regime Switching with Application to Chapter 11 Bankruptcy. Applied Mathematics & Optimization 89:1.
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Wenyuan Wang, Ruixing Ming & Yijun Hu. (2023) On De Finetti’s optimal impulse dividend control problem under Chapter 11 bankruptcy. Acta Mathematica Scientia 44:1, pages 215-233.
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Ming Qiu, Zhuo Jin & Shuanming Li. (2023) Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach. Insurance: Mathematics and Economics 113, pages 1-23.
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Kookyoung Han & Jin Hyuk Choi. (2023) Implications of false alarms in dynamic games on cyber-security. Chaos, Solitons & Fractals 169, pages 113322.
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Lijun Bo, Tongqing Li & Xiang Yu. (2022) Centralized systemic risk control in the interbank system: Weak formulation and Gamma-convergence. Stochastic Processes and their Applications 150, pages 622-654.
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Ming Qiu, Zhuo Jin & Shuanming Li. (2022) Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk. SIAM Journal on Control and Optimization 60:3, pages 1269-1293.
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