Optimal dividend and investing control of an insurance company with higher solvency constraints

DOI10.1016/J.INSMATHECO.2011.08.008zbMATH Open1232.91352arXiv1005.1360OpenAlexW2134757092MaRDI QIDQ654829FDOQ654829

Authors: Zongxia Liang, Jianping Huang 

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Abstract: This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at describing the optimal return function as well as the optimal policy. As a by-product, the paper theoretically sets a risk-based capital standard to ensure the capital requirement of can cover the total risk.

Full work available at URL: https://arxiv.org/abs/1005.1360

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zbMATH Keywords

proportional reinsurancestochastic differential equationssolvencyprobability of bankruptcyoptimal dividend policyoptimal return functionstochastic regular-singular control

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited In (19)

• Approximation of Optimal Reinsurance and Dividend Payout Policies
• Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
• Title not available (Why is that?)
• Impulse control of proportional reinsurance with constraints
• An optimal dividend and investment control problem under debt constraints
• Dividend optimization for jump-diffusion model with solvency constraints
• On a Model for the Efficient Operation of a Bank or Insurance Company
• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
• PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS
• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimal dividends for regulated insurers with a nonlinear penalty
• A diffusion model for optimal dividend payment and risk control for a firm under consideration of the time value of ruin
• A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
• Optimal control problem for an insurance surplus model with debt liability
• Optimal control of a big financial company with debt liability under bankrupt probability constraints

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