Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs

DOI10.1080/03461230110106291zbMath1039.91042OpenAlexW2003968610MaRDI QIDQ4455897

Bjarne Højgaard

Publication date: 16 March 2004

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230110106291

zbMATH Keywords

Bellman equationbarrier strategyDe Vylder approximationnon-life insurancedynamic premium controlmaximizing dividend pay-outs

Mathematics Subject Classification ID

Related Items (27)

Optimal control of risk exposure, reinsurance and investments for insurance portfolios ⋮ Optimal investment and premium control for insurers with ambiguity ⋮ Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints ⋮ Optimal control of investment, premium and deductible for a non-life insurance company ⋮ Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier ⋮ Optimal investment and premium control in a nonlinear diffusion model ⋮ Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. ⋮ On barrier strategy dividends with Parisian implementation delay for classical surplus processes ⋮ Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities ⋮ Methods for estimating the optimal dividend barrier and the probability of ruin ⋮ Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends ⋮ Optimal Dividends ⋮ Optimal investment and reinsurance with premium control ⋮ Portfolio size as function of the premium: modelling and optimization ⋮ On a class of renewal risk models with a constant dividend barrier ⋮ Spectral decomposition of optimal asset-liability management ⋮ The compound Poisson risk model with a threshold dividend strategy ⋮ A risk model with paying dividends and random environment ⋮ Review of statistical actuarial risk modelling ⋮ The Compound Poisson Risk Model with Interest and a Threshold Strategy ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ The expected time to ruin in a risk process with constant barrier via martingales ⋮ Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model ⋮ The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion ⋮ Strategies for Dividend Distribution: A Review

Cites Work

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• Aspects of risk theory
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimal proportional reinsurance policies for diffusion models
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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