A perturbation approach to optimal investment, liability ratio, and dividend strategies
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Publication:5083407
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.
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Cited in
(7)- 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
- The optimal investment, liability and dividends in insurance
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
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- The optimal dividend strategy in the perturbed compound Poisson risk model with investment
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
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