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Impulse Control of Proportional Reinsurance with Constraints

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  • Hui Meng
  • Tak Kuen Siu

Abstract

We consider an insurance company whose surplus follows a diffusion process with proportional reinsurance and impulse dividend control. Our objective is to maximize expected discounted dividend payouts to shareholders of the company until the time of bankruptcy. To meet some essential requirements of solvency control (e.g., bankruptcy not soon), we impose some constraints on the insurance company's dividend policy. Under two types of constraints, we derive the value functions and optimal control policies of the company.

Suggested Citation

  • Hui Meng & Tak Kuen Siu, 2011. "Impulse Control of Proportional Reinsurance with Constraints," International Journal of Stochastic Analysis, Hindawi, vol. 2011, pages 1-13, August.
    • Handle: RePEc:hin:jnijsa:190603
    DOI: 10.1155/2011/190603
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    Cited by:

    1. Meng, Hui & Liao, Pu & Siu, Tak Kuen, 2019. "Continuous-time optimal reinsurance strategy with nontrivial curved structures," Applied Mathematics and Computation, Elsevier, vol. 363(C), pages 1-1.

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