DocumentCode
2123803
Title
Optimal dividend and capital injection of the insurance company with proportional reinsurance policy
Author
Liu Guoxin ; Zhang Shuaiqi
Author_Institution
Sch. of Sci., Heibei Univ. of Technol., Tianjin, China
fYear
2010
fDate
29-31 July 2010
Firstpage
1592
Lastpage
1597
Abstract
This paper deals with the optimal control problem of the insurance company with proportional reinsurance policy. By controlling the dynamic reinsurance rate, dividends payout as well as the equity issuance processes, we maximize the cumulative expected discounted dividends payout minus the equity issuance. Moreover, we prove that it is optimal to issue new equity when the process hits 0.
Keywords
insurance; optimal control; capital injection; cumulative expected discounted dividends payout; dynamic reinsurance rate; equity issuance process; insurance company; optimal control problem; optimal dividend; proportional reinsurance policy; Companies; Equations; Insurance; Mathematical model; Optimal control; Process control; Stochastic processes; Capital injection; HJB equation; Mixed singular-regular control; Optimal dividend control; Proportional reinsurance; Stochastic control;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference (CCC), 2010 29th Chinese
Conference_Location
Beijing
Print_ISBN
978-1-4244-6263-6
Type
conf
Filename
5574069
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