1 citations · 1 across the 6 of their papers we have counts for
6 papers
Optimal Dividend, Reinsurance, and Capital Injection for Collaborating Business Lines under Model Uncertainty
Tim J. Boonen, Engel John C. Dela Vega, Len Patrick Dominic M. Garces
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection…
Optimal Dividend, Reinsurance and Capital Injection Strategies for Collaborating Business Lines: The Case of Excess-of-Loss Reinsurance
Tim J. Boonen, Engel John C. Dela Vega
This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-…
Optimal Dividend, Reinsurance, and Capital Injection Strategies for an Insurer with Two Collaborating Business Lines
Tim J. Boonen, Engel John C. Dela Vega, Bin Zou
This paper considers an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three dec…
Optimal Ratcheting of Dividends with Irreversible Reinsurance
Tim J. Boonen, Engel John C. Dela Vega
This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of…
Backward stochastic differential equations with regime-switching and sublinear expectations
Engel John C. Dela Vega, Robert J. Elliott
This paper introduces a backward stochastic differential equation driven by both Brownian motion and a Markov chain (BSDEBM). Regime-switching is also incorporated through its driv…
A stochastic control approach to bid-ask price modelling
Engel John C. Dela Vega, Robert J. Elliott
This paper develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric B…