Optimal investment policy and dividend payment strategy in an insurance company

DOI10.1214/09-AAP643zbMath1196.91033arXiv1010.4988MaRDI QIDQ990379

Pablo Azcue, Nora Muler

Publication date: 1 September 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.4988

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutioninsurancebarrier strategydynamic programming principlerisk controloptimal investment policyband strategyCramér-Lundberg processdividend payment strategy

Mathematics Subject Classification ID

Related Items (27)

Optimal dividend policy in an insurance company with contagious arrivals of claims ⋮ Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information ⋮ Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections ⋮ Minimisation of penalty payments by investments and reinsurance ⋮ Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model ⋮ Optimal investment and premium control for insurers with ambiguity ⋮ Maximum principle via Malliavin calculus for regular-singular stochastic differential games ⋮ Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls ⋮ Optimal dividends for regulated insurers with a nonlinear penalty ⋮ Optimal Dividends Under Model Uncertainty ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes ⋮ Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time ⋮ Optimality of the threshold dividend strategy for the compound Poisson model ⋮ Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer ⋮ Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency ⋮ Solving a Hamilton–Jacobi–Bellman equation with constraints ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Revisiting optimal investment strategies of value-maximizing insurance firms ⋮ Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints ⋮ Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty ⋮ Optimal singular dividend problem under the Sparre Andersen model ⋮ On a dividend problem with random funding ⋮ Optimal dividend strategy for an insurance group with contagious default risk ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax ⋮ Optimal Investment and Dividend Strategy under Renewal Risk Model ⋮ Optimal control with restrictions for a diffusion risk model under constant interest force

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• Controlled diffusion models for optimal dividend pay-out
• When does the share price equal the present value of future dividends? A modified dividend approach
• On minimizing the ruin probability by investment and reinsurance
• On the optimal dividend problem for a spectrally negative Lévy process
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation
• Viscosity Solutions of Hamilton-Jacobi Equations
• User’s guide to viscosity solutions of second order partial differential equations
• A Stochastic Extension of the Miller‐Modigliani Framework¹
• Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Optimal investment for insurers

This page was built for publication: Optimal investment policy and dividend payment strategy in an insurance company