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

DOI10.1016/J.INSMATHECO.2011.08.008MaRDI QIDQ654829zbMATHOpenAlexFDO

Authors Zongxia Liang, Jianping Huang

Publication date 21 December 2011

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

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

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)

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.

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Cited in

(20)

• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• An optimal dividend and investment control problem under debt constraints
• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• Approximation of Optimal Reinsurance and Dividend Payout Policies
• Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
• Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
• scientific article; zbMATH DE number 5071078 (Why is no real title available?)
• Optimal dividends for regulated insurers with a nonlinear penalty
• Dividend optimization for jump-diffusion model with solvency constraints
• Impulse control of proportional reinsurance with constraints
• A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
• The optimal investment, liability and dividends in insurance
• Optimal control problem for an insurance surplus model with debt liability
• A diffusion model for optimal dividend payment and risk control for a firm under consideration of the time value of ruin
• On a Model for the Efficient Operation of a Bank or Insurance Company
• Optimal control of a big financial company with debt liability under bankrupt probability constraints
• Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
• Portfolio selection by minimizing the present value of capital injection costs

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