Dividends and reinsurance under a penalty for ruin
AbstractWe find the optimal dividend strategy in a diffusion risk model under a penalty for ruin, as in Thonhauser and Albrecher (2007), although we allow for both a positive and a negative penalty. Furthermore, we determine the optimal proportional reinsurance strategy, when so-called expensive reinsurance is available; that is, the premium loading on reinsurance is greater than the loading on the directly written insurance. One can think of our model as taking the one in Taksar (2000, Section 6) and adding a penalty for ruin.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 50 (2012)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/505554
Optimal dividends; Optimal reinsurance; Ruin; Stochastic optimal control; Legendre dual;
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