 Optimal control of the insurance company with proportional reinsurance policy under solvency constraintsLin He, Ping Hou and Zongxia Liang Insurance: Mathematics and Economics, 2008, vol. 43, issue 3, 474-479 Abstract: This paper considers the optimal control problem of the insurance company with proportional reinsurance policy under solvency constraints. The management of the company controls the reinsurance rate and dividends payout processes to maximize the expected present value of the dividend until the time of bankruptcy. This is a mixed singular-regular control problem. However, the optimal dividend payout barrier may be too low to be acceptable. The company may be prohibited to pay dividend according to external reasons because this low dividend payout barrier will result in bankruptcy soon. Therefore, some constraints on the insurance company's dividend policy will be imposed. One reasonable and normal constraint is that if b is the minimum dividend barrier, then the bankrupt probability should not be larger than some predetermined [epsilon] within the time horizon T. This paper is to work out the optimal control policy of the insurance company under the solvency constraints. Keywords: Optimal; dividend; control; Proportional; reinsurance; HJB; equation; Solvency; constraints; Singular-regular; control; problem (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:3:p:474-479 Access Statistics for this article Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu More articles in Insurance: Mathematics and Economics from Elsevier |
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