Liang, Zhibin; Young, Virginia R. - In: Insurance: Mathematics and Economics 50 (2012) 3, pp. 437-445
We find the optimal dividend strategy in a diffusion risk model under a penalty for ruin, as in Thonhauser and Albrecher (2007), although we allow for both a positive and a negative penalty. Furthermore, we determine the optimal proportional reinsurance strategy, when so-called expensive...