Optimal control of the insurance company with proportional reinsurance policy under solvency constraints (Q2518554)
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scientific article; zbMATH DE number 5493041
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| English | Optimal control of the insurance company with proportional reinsurance policy under solvency constraints |
scientific article; zbMATH DE number 5493041 |
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Optimal control of the insurance company with proportional reinsurance policy under solvency constraints (English)
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16 January 2009
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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.
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optimal dividend control
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proportional reinsurance
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HJB equation
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solvency constraints
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singular-regular control problem
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