Optimal Control Strategies for the Premium Policy of an Insurance Firm with Jump Diffusion Assets and Stochastic Interest Rate
Nabil Khelfallah and
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Dalila Guerdouh: Laboratoire de Mathématiques Appliquées, Université de Biskra, PB 145, Biskra 07000, Algeria
Nabil Khelfallah: Laboratoire de Mathématiques Appliquées, Université de Biskra, PB 145, Biskra 07000, Algeria
Josep Vives: Departament de Matemàtiques i Informàtica, Universitat de Barcelona, Gran Via 585, 08007 Barcelona, Spain
JRFM, 2022, vol. 15, issue 3, 1-0
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its cash-balance dynamics by regulating the underlying premium rate, the aim of the policy maker is to select an appropriate premium in order to minimize the total deviation of the state process to some pre-set target level. As a part of stochastic maximum principle approach, a verification theorem is used to fulfill this achievement.
Keywords: forward-backward stochastic differential equations; teugels martingales; lévy processes; optimal premium policies (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:143-:d:772943
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