Dividends and reinsurance under a penalty for ruin
We 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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Volume (Year): 50 (2012)
Issue (Month): 3 ()
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- Gerber, Hans U. & Shiu, Elias S.W. & Smith, Nathaniel, 2006. "Maximizing Dividends without Bankruptcy," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 36(01), pages 5-23, May. Full references (including those not matched with items on IDEAS)
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