3 papers
math.OC2026
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…
math.OC2025
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-…
math.OC2025
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…