Optimal control of the insurance company with proportional reinsurance policy under solvency constraints (Q2518554)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal control of the insurance company with proportional reinsurance policy under solvency constraints |
scientific article |
Statements
Optimal control of the insurance company with proportional reinsurance policy under solvency constraints (English)
0 references
16 January 2009
0 references
This paper deals with a problem of finding an optimal control policy of the insurance company under the solvency constraints. The manager of the company controls the reinsurance rate and dividend payout process and tries to maximize the expected present value of the dividend until the bankruptcy.
0 references
optimal dividend control
0 references
proportional reinsurance
0 references
HJB equation
0 references
solvency constraints
0 references
singular-regular control problem
0 references
0 references
0 references
0 references
0 references
