IDEAS home Printed from https://ideas.repec.org/a/ids/ijmore/v10y2017i1p69-83.html
   My bibliography  Save this article

Optimal combined dividend and reinsurance policies under interest rate in Lévy markets

Author

Listed:
  • Sivuyile W. Mgobhozi
  • Eriyoti Chikodza

Abstract

A combined dividend and risk control problem is presented and investigated in this paper. The risk of the insurance firm is controlled by using a proportional reinsurance policy. It is considered that the evolution of the cash reserves of the firm is driven by a generalised Itô-Lévy process. The surplus cash reserves earn interest at a constant rate. The objective of the firm is to maximise the total expected discounted dividends paid out to share holders. The situation is modelled as an impulse-classical control problem. We manage to construct the value function and the optimal impulse control. The existence and uniqueness of an optimal classical control is proved.

Suggested Citation

  • Sivuyile W. Mgobhozi & Eriyoti Chikodza, 2017. "Optimal combined dividend and reinsurance policies under interest rate in Lévy markets," International Journal of Mathematics in Operational Research, Inderscience Enterprises Ltd, vol. 10(1), pages 69-83.
    • Handle: RePEc:ids:ijmore:v:10:y:2017:i:1:p:69-83
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=80745
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijmore:v:10:y:2017:i:1:p:69-83. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=320 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.