Optimal dividend problem with a nonlinear regular-singular stochastic control

被引：28
作者：
Chen, Mi [1 ]
Peng, Xiaofan [1 ]
Guo, Junyi [1 ]
机构：
[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2013年 / 52卷 / 03期
基金：
中国国家自然科学基金; 高等学校博士学科点专项科研基金;
关键词：
Dividend; Proportional reinsurance; Non-cheap reinsurance; Cheap reinsurance; Exponential premium principle; OPTIMAL REINSURANCE; INSURANCE COMPANY; DIFFUSION-MODELS; RISK; POLICIES; PROBABILITY; INVESTMENT; ISSUANCE;
D O I：
10.1016/j.insmatheco.2013.02.010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, a problem with a nonlinear regular-singular stochastic control is studied for a big insurance portfolio. We assume that the reinsurance premium is calculated according to the exponential premium principle which makes the stochastic control problem nonlinear. Both non-cheap and cheap reinsurance are investigated. The objective of the insurer is to determine the optimal reinsurance and dividend policy so as to maximize the expected discounted dividends until ruin. Bounded dividend rates and unbounded dividend rates are considered. In both cases, explicit expressions for the value function and the corresponding optimal strategies are obtained. Finally, a numerical example is presented, which shows the impacts of risk aversion of the reinsurance company on the optimal value function and the retention level for reinsurance. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：448 / 456
页数：9
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