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Optimal Dividend And Reinsurance Strategies With Financing And Liquidation Value

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  • Yao, Dingjun
  • Yang, Hailiang
  • Wang, Rongming

Abstract

This study investigates a combined optimal financing, reinsurance and dividend distribution problem for a big insurance portfolio. A manager can control the surplus by buying proportional reinsurance, paying dividends and raising money dynamically. The transaction costs and liquidation values at bankruptcy are included in the risk model. Under the objective of maximising the insurance company's value, we identify the insurer's joint optimal strategies using stochastic control methods. The results reveal that managers should consider financing if and only if the terminal value and the transaction costs are not too high, less reinsurance is bought when the surplus increases or dividends are always distributed using the barrier strategy.

Suggested Citation

  • Yao, Dingjun & Yang, Hailiang & Wang, Rongming, 2016. "Optimal Dividend And Reinsurance Strategies With Financing And Liquidation Value," ASTIN Bulletin, Cambridge University Press, vol. 46(2), pages 365-399, May.
    • Handle: RePEc:cup:astinb:v:46:y:2016:i:02:p:365-399_00
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    Cited by:

    1. Sheng Delei & Xing Linfang, 2018. "Optimal Insurance-Package and Investment Problem for an Insurer," Journal of Systems Science and Information, De Gruyter, vol. 6(1), pages 85-96, February.
    2. Florin Avram & Dan Goreac & Juan Li & Xiaochi Wu, 2021. "Equity Cost Induced Dichotomy for Optimal Dividends with Capital Injections in the Cramér-Lundberg Model," Mathematics, MDPI, vol. 9(9), pages 1-27, April.

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