Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach

Adkins, 2012 Asmussen, 1997, Controlled diffusion models for optimal dividend pay-out, Insurance: Mathematics and Economics, 20, 1 Ballestra, 2014, Valuing risky debt: a new model combining structural information with the reduced-form approach, Insurance: Mathematics and Economics, 55, 261 Beaver, 2019, Group affiliation and default prediction, Management Science, 65, 3559, 10.1287/mnsc.2018.3128 Bensoussana, 2014, A class of non-zero-sum stochastic differential investment and reinsurance games, Automatica, 50, 2025, 10.1016/j.automatica.2014.05.033 Bielecki, 2004 Birge, 2018, Risk-sensitive asset management and cascading defaults, Mathematics of Operations Research, 43, 1, 10.1287/moor.2017.0856 Bo, 2016, Optimal investment in credit derivatives portfolio under contagion risk, Mathematical Finance, 26, 785, 10.1111/mafi.12074 Bo, 2017, Optimal investment under information driven contagious distress, SIAM Journal on Control and Optimization, 55, 1020, 10.1137/140972342 Bo, 2018, Portfolio choice with market–credit-risk dependencies, SIAM Journal on Control and Optimization, 56, 3050, 10.1137/16M1084092 Bo, 2019, Risk sensitive portfolio optimization with default contagion and regime-switching, SIAM Journal on Control and Optimization, 57, 366, 10.1137/18M1166274 Brechmann, 2013, Conditional copula simulation for systemic risk stress testing, Insurance: Mathematics and Economics, 53, 722 Burden, 2010 Capponi, 2017, Systemic influences on optimal equity-credit investment, Management Science, 63, 2756, 10.1287/mnsc.2016.2460 Carmona, 2015, Mean field games and systemic risk, Communications in Mathematical Sciences, 13, 911, 10.4310/CMS.2015.v13.n4.a4 Carr, 2021, Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process, The Journal of Derivatives, 29, 9, 10.3905/jod.2021.1.133 Cheng, 2020, Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach, ASTIN Bulletin, 50, 449, 10.1017/asb.2020.9 Choulli, 2003, A diffusion model for optimal dividend distribution for a company with constraints on risk control, SIAM Journal on Control and Optimization, 41, 1946, 10.1137/S0363012900382667 De Finetti, 1957, Su un'impostazione alternativa della teoria collettiva del rischio, Transactions of the XVth International Congress of Actuaries, 2, 433 Dhaene, 2022, Systemic risk: conditional distortion risk measures, Insurance: Mathematics and Economics, 102, 126 Ettlin, 2020, Optimal risk-sharing across a network of insurance companies, Insurance: Mathematics and Economics, 95, 39 Feng, 2021, Optimal risk exposure and dividend payout policies under model uncertainty, Insurance: Mathematics and Economics, 100, 1 Fleming, 1975 Frey, 2008, Pricing and hedging of portfolio credit derivatives with interacting default intensities, International Journal of Theoretical and Applied Finance, 11, 611, 10.1142/S0219024908004956 Frey, 2010, Pricing credit derivatives under incomplete information: a nonlinear-filtering approach, Finance and Stochastics, 14, 496, 10.1007/s00780-010-0129-5 Garnier, 2013, Large deviations for a mean field model of systemic risk, SIAM Journal on Financial Mathematics, 4, 151, 10.1137/12087387X Gerber, 2004, Optimal dividends, North American Actuarial Journal, 8, 1, 10.1080/10920277.2004.10596125 Grandell, 1991 Hambly, 2019, An spde model for systemic risk with endogenous contagion, Finance and Stochastics, 23, 535, 10.1007/s00780-019-00396-1 He, 2022, Optimal asset allocation, consumption and retirement time with the variation in habitual persistence, Insurance: Mathematics and Economics, 102, 188 Højgaard, 1999, Controlling risk exposure and dividends payout schemes: insurance company example, Mathematical Finance, 9, 153, 10.1111/1467-9965.00066 Irgens, 2004, Optimal control of risk exposure, reinsurance and investments for insurance portfolios, Insurance: Mathematics and Economics, 35, 21 Jarrow, 1995, Pricing derivatives on financial securities subject to credit risk, The Journal of Finance, 50, 53, 10.1111/j.1540-6261.1995.tb05167.x Jeanblanc-Picqué, 1995, Optimization of the flow of dividends, Uspehi Matematičeskih Nauk, 50, 25 Jin, 2021, Optimal dividend strategy for an insurance group with contagious default risk, Scandinavian Actuarial Journal, 2021, 335, 10.1080/03461238.2020.1845231 Jin, 2015, Optimal debt ratio and dividend payment strategies with reinsurance, Insurance: Mathematics and Economics, 64, 351 Jin, 2021, A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis, Insurance: Mathematics and Economics, 96, 262 Jin, 2012, Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation, Automatica, 48, 1489, 10.1016/j.automatica.2012.05.039 Liang, 2012, On a reduced form credit risk model with common shock and regime switching, Insurance: Mathematics and Economics, 51, 567 Lin, 2000, The moments of the time of ruin, the surplus before ruin, and the deficit at ruin, Insurance: Mathematics and Economics, 27, 19 Lin, 2016, Move-based hedging of variable annuities: a semi-analytic approach, Insurance: Mathematics and Economics, 71, 40 Lin, 2015, Reinsurance networks and their impact on reinsurance decisions: theory and empirical evidence, The Journal of Risk and Insurance, 82, 531, 10.1111/jori.12032 Protter, 2005 Qiu, 2022, Optimal dividend strategies with reinsurance under contagious systemic risk, SIAM Journal on Control and Optimization, 60, 1269, 10.1137/21M1422318 Taksar, 2007, The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance, Insurance: Mathematics and Economics, 40, 311 Tang, 2022, Insurance risk analysis of financial networks vulnerable to a shock, European Journal of Operational Research, 301, 756, 10.1016/j.ejor.2021.11.017 Willmot, 1998, Exact and approximate properties of the distribution of surplus before and after ruin, Insurance: Mathematics and Economics, 23, 91 Yao, 2011, Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs, European Journal of Operational Research, 211, 568, 10.1016/j.ejor.2011.01.015