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A perturbation approach to optimal investment, liability ratio, and dividend strategies

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  • Zhuo Jin
  • Zuo Quan Xu
  • Bin Zou

Abstract

We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize her expected utility of dividend payments over an infinite horizon. By applying a perturbation approach, we obtain the optimal strategy and the value function in closed form for log and power utility. We conduct an economic analysis to investigate the impact of various model parameters and risk aversion on the insurer's optimal strategy.

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  • Zhuo Jin & Zuo Quan Xu & Bin Zou, 2022. "A perturbation approach to optimal investment, liability ratio, and dividend strategies," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2022(2), pages 165-188, February.
    • Handle: RePEc:taf:sactxx:v:2022:y:2022:i:2:p:165-188
    DOI: 10.1080/03461238.2021.1938199
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    Cited by:

    1. Dan Zhu & Cuixia Chen & Bing Liu, 2023. "Optimal Debt Ratio and Dividend Payment Policies for Insurers with Ambiguity," Mathematics, MDPI, vol. 12(1), pages 1-12, December.

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