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

Zongxia Liang and Jianping Huang

Insurance: Mathematics and Economics, 2011, vol. 49, issue 3, 501-511

Abstract: This paper considers the 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 that can cover the total risk.

Keywords: Optimal dividend policy; Optimal return function; Solvency; Stochastic regular-singular control; Proportional reinsurance; Probability of bankruptcy; Stochastic differential equations (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:3:p:501-511

DOI: 10.1016/j.insmatheco.2011.08.008

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