An Optimal Periodic Dividend and Risk Control Problem for an Insurance Company
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| _version_ | 1866913694467751936 |
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| author | Kelbert, Mark Moreno-Franco, Harold A. |
| author_facet | Kelbert, Mark Moreno-Franco, Harold A. |
| contents | We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk control is continuously managed through proportional reinsurance. Our analysis confirms the optimality of a periodic-classical barrier strategy for maximizing the expected net present value until the first instance of bankruptcy across all admissible periodic-classical strategies. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2312_17131 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | An Optimal Periodic Dividend and Risk Control Problem for an Insurance Company Kelbert, Mark Moreno-Franco, Harold A. Optimization and Control 60J60, 91B70, 91G50, 93E20 We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk control is continuously managed through proportional reinsurance. Our analysis confirms the optimality of a periodic-classical barrier strategy for maximizing the expected net present value until the first instance of bankruptcy across all admissible periodic-classical strategies. |
| title | An Optimal Periodic Dividend and Risk Control Problem for an Insurance Company |
| topic | Optimization and Control 60J60, 91B70, 91G50, 93E20 |
| url | https://arxiv.org/abs/2312.17131 |