Optimal dividend and investing control of an insurance company with higher solvency constraints
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 49 (2011)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/505554
Optimal dividend policy; Optimal return function; Solvency; Stochastic regular-singular control; Proportional reinsurance; Probability of bankruptcy; Stochastic differential equations;
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- He, Lin & Liang, Zongxia, 2013. "Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 404-410.
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