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Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem

Kaixin Yan / Wenyuan Wang / Zuo Quan Xu

brownian motion / insuranceResource overview

Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem

Paper2026

by Kaixin Yan, Wenyuan Wang, Zuo Quan Xu

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Suggested foundations for stochastic processes and pricing and optimisation and numerical methods. Specialist prerequisites vary by paper.

Before you read

Conditional Expectation
Understand what it means to condition on current information.
Stochastic Processes, Brownian Motion and Itô's Lemma
Follow Brownian dynamics and the second-order term in Itô calculus.
Vectors, Matrices and Linear Systems
Read the linear algebra used to define a numerical problem.
Constrained and Convex Optimisation
Identify the objective, constraints and conditions for an optimum.

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Market Model and Risk-Neutral Valuation
Connect stochastic dynamics to no-arbitrage prices.
Simulating SDEs
Translate continuous dynamics into a numerical experiment.
Calibration as an Inverse Problem
Understand identifiability and fitted model parameters.

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From martingales to option pricing
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.

Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem

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