Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk
Authors: 
Ming Qiu, Zhuo Jin, Shuanming LiAuthors Info & Claims
Pages 1269 - 1293
Abstract
This paper studies the multidimensional mixed singular-regular stochastic control problems subject to reduced-form default driven by contagious intensities. The dynamic process of surplus is given by a system of diffusion processes with two controls, and the intensity of the reduced-form model increases when defaults occur. We derive the recursive Hamilton--Jacobi--Bellman variational inequalities by the dynamic programming principle and present analytical and recursive solutions. We prove that the solutions are classical and recursively associated with each other by the default states. The verification theorem is presented.
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DOI:10.1137/sjcodc.60.3
Issue’s Table of Contents© 2022, Society for Industrial and Applied Mathematics.
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Society for Industrial and Applied Mathematics
United States
Publication History
Published: 01 January 2022
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