<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">JINGXIAO ZHANG</style></author><author><style face="normal" font="default" size="100%">SHENG LIU</style></author><author><style face="normal" font="default" size="100%">D. KANNAN</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">OPTIMAL DIVIDEND AND REINSURANCE UNDER THRESHOLD STRATEGY</style></title><secondary-title><style face="normal" font="default" size="100%">Dynamic Systems and Applications</style></secondary-title></titles><keywords><keyword><style  face="normal" font="default" size="100%">60H10</style></keyword><keyword><style  face="normal" font="default" size="100%">60H30</style></keyword><keyword><style  face="normal" font="default" size="100%">93E20</style></keyword></keywords><dates><year><style  face="normal" font="default" size="100%">2011</style></year><pub-dates><date><style  face="normal" font="default" size="100%">2011</style></date></pub-dates></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://acadsol.eu/dsa/articles/20/14-DSA-31-07.pdf</style></url></web-urls></urls><volume><style face="normal" font="default" size="100%">20</style></volume><pages><style face="normal" font="default" size="100%">12</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p&gt;We consider the optimal dividend and reinsurance problems in this article, where the dividend strategy is the threshold strategy and the reinsurance is the proportional reinsurance. Despite the fact that the barrier strategy has its popularity in theoretical research, such a strategy has little practical acceptance as it will lead to the certainty of ultimate ruin. A modified version of the barrier strategy is the threshold strategy which assumes that dividends are paid at a rate smaller than the rate of premium income whenever the surplus is above some threshold level, and that no dividends are paid out whenever the surplus is below the threshold level. In this article, we consider two cases of the threshold strategy. One is the threshold strategy without barrier, and the other is the threshold strategy with barrier. The first case generalizes and corrects part of results in [16]. In the second case, we use the stochastic control theoretic techniques, to find the value function as well as the optimal investment-reinsurance policy in closed form.&lt;/p&gt;
</style></abstract><section><style face="normal" font="default" size="100%">193</style></section></record><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">JINGXIAO ZHANG</style></author><author><style face="normal" font="default" size="100%">SHENG LIU</style></author><author><style face="normal" font="default" size="100%">D. KANNAN</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">OPTIMAL DIVIDEND PROBLEM WITH THE INFLUENCE OF DIVIDEND PAYOUTS ON INSURANCE BUSINESS</style></title><secondary-title><style face="normal" font="default" size="100%">Dynamic Systems and Applications</style></secondary-title></titles><keywords><keyword><style  face="normal" font="default" size="100%">60H10</style></keyword><keyword><style  face="normal" font="default" size="100%">60H30</style></keyword><keyword><style  face="normal" font="default" size="100%">93E20</style></keyword></keywords><dates><year><style  face="normal" font="default" size="100%">2011</style></year><pub-dates><date><style  face="normal" font="default" size="100%">2011</style></date></pub-dates></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://acadsol.eu/dsa/articles/20/34-DSA-31-21.pdf</style></url></web-urls></urls><volume><style face="normal" font="default" size="100%">20</style></volume><pages><style face="normal" font="default" size="100%">12</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p&gt;This article initiates the optimal dividend problem, from the view point of the managers of the insurance companies. where we incorporate the influence of dividend payouts on the insurance business. We begin with a mathematical characterization of the influence of dividend payouts, and then continue to find the optimal dividend policy that maximizes the expected utility of terminal wealth and minimizes the ruin probability. We study the problem in terms of the Levy process and derive the diffusion process case as a particular one.&lt;/p&gt;
</style></abstract><section><style face="normal" font="default" size="100%">519</style></section></record><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">JINGXIAO ZHANG</style></author><author><style face="normal" font="default" size="100%">SHENG LIU</style></author><author><style face="normal" font="default" size="100%">D. KANNAN</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE UNDER NO SHORT-SELLING AND NO BORROWING</style></title><secondary-title><style face="normal" font="default" size="100%">Dynamic Systems and Applications</style></secondary-title></titles><keywords><keyword><style  face="normal" font="default" size="100%">60H10</style></keyword><keyword><style  face="normal" font="default" size="100%">60H30</style></keyword><keyword><style  face="normal" font="default" size="100%">93E20</style></keyword></keywords><dates><year><style  face="normal" font="default" size="100%">2011</style></year><pub-dates><date><style  face="normal" font="default" size="100%">2011</style></date></pub-dates></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://acadsol.eu/dsa/articles/20/15-DSA-31-10.pdf</style></url></web-urls></urls><volume><style face="normal" font="default" size="100%">20</style></volume><pages><style face="normal" font="default" size="100%">18</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p&gt;Insurance companies resort to investment and reinsurance, among other options, to manage their reseerves. This article addresses the problem of optimal investment and reinsurance when no short-selling and no borrowing allowed. More specifically, we assume that the risk process of the insurance company is a compound Poisson process perturbed by a standard Brownian motion and that the risk can be reduced through a proportional reinsurance. In addition, the surplus can be invested in the financial market such that the portfolio will consist, for simplicity, of one risky asset and one risk-free asset. Our goal is to find the optimal investment and reinsurance policy which can maximize the expected exponential utility of the terminal wealth. In the case of no short-selling, we find the closed form of value function as well as the optimal investment-reinsurance policy. In the case when neither short-selling nor borrowing allowed, the resulting HJB equation is difficult to solve analytically, and hence we provide a numerical solution through Markov chain approximation techniques&lt;/p&gt;
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