A perturbation approach to optimal investment, liability ratio, and dividend strategies
From MaRDI portal
Publication:5083407
DOI10.1080/03461238.2021.1938199zbMATH Open1492.91301arXiv2012.06703OpenAlexW3169642514MaRDI QIDQ5083407FDOQ5083407
Zhuo Jin, Bin Zou, Quan Xu Zuo
Publication date: 20 June 2022
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Abstract: We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize her expected utility of dividend payments over an infinite horizon. By applying a perturbation approach, we obtain the optimal strategy and the value function in closed form for log and power utility. We conduct an economic analysis to investigate the impact of various model parameters and risk aversion on the insurer's optimal strategy.
Full work available at URL: https://arxiv.org/abs/2012.06703
Cites Work
- Title not available (Why is that?)
- Optimum consumption and portfolio rules in a continuous-time model
- Controlled diffusion models for optimal dividend pay-out
- Controlled Markov processes and viscosity solutions
- Controlling risk exposure and dividends payout schemes: Insurance company example
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimization of the flow of dividends
- Optimal dividend strategies with time-inconsistent preferences
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Optimal Dividends in the Dual Model with Diffusion
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
- Optimal Dividends
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal dividends in the dual model
- Optimal dividends in the dual model under transaction costs
- Strategies for Dividend Distribution: A Review
- Applied stochastic control of jump diffusions.
- Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- Optimal expected exponential utility of dividend payments in a Brownian risk model
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
- Optimal proportional reinsurance policies for diffusion models
- Optimal risk and dividend control for a company with a debt liability
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Stochastic Optimal Control and the U.S. Financial Debt Crisis
- On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
- Relative risk aversion: what do we know?
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Dividend maximization under consideration of the time value of ruin
- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- Optimal debt ratio and dividend payment strategies with reinsurance
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
- Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility
- Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model
- Optimal dividend control for a generalized risk model with investment incomes and debit interest
- On capital injections and dividends with tax in a diffusion approximation
- Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
- Dividend optimization for general diffusions with restricted dividend payment rates
- On a mean reverting dividend strategy with Brownian motion
- Optimal dividends and capital injection under dividend restrictions
- Linking dividends and capital injections – a probabilistic approach
- Optimal dividend strategy for an insurance group with contagious default risk
- Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
Cited In (4)
- Asset-liability management with state-dependent utility in the regime-switching market
- Impacts of Measurement Errors on Simultaneous Equation Estimation of Dividend and Investment Decisions
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
This page was built for publication: A perturbation approach to optimal investment, liability ratio, and dividend strategies
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5083407)
