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Article: Optimal dividend and reinsurance in the presence of two reinsurers
Title | Optimal dividend and reinsurance in the presence of two reinsurers |
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Authors | |
Keywords | Dividend Exponential premium principle Optimal reinsurance with two reinsurers Reinsurance Transaction costs |
Issue Date | 2016 |
Publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html |
Citation | Journal of Applied Probability, 2016, v. 53 n. 2, p. 554-571 How to Cite? |
Abstract | In this paper the optimal dividend (subject to transaction costs) and reinsurance (with two reinsurers) problem is studied in the limit diffusion setting. It is assumed that transaction costs and taxes are required when dividends occur, and that the premiums charged by two reinsurers are calculated according to the exponential premium principle with different parameters, which makes the stochastic control problem nonlinear. The objective of the insurer is to determine the optimal reinsurance and dividend policy so as to maximize the expected discounted dividends until ruin. The problem is formulated as a mixed classical-impulse stochastic control problem. Explicit expressions for the value function and the corresponding optimal strategy are obtained. Finally, a numerical example is presented to illustrate the impact of the parameters associated with the two reinsurers' premium principle on the optimal reinsurance strategy. |
Persistent Identifier | http://hdl.handle.net/10722/214583 |
ISSN | 2023 Impact Factor: 0.7 2023 SCImago Journal Rankings: 0.551 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Chen, M | - |
dc.contributor.author | Yuen, KC | - |
dc.date.accessioned | 2015-08-21T11:39:00Z | - |
dc.date.available | 2015-08-21T11:39:00Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Journal of Applied Probability, 2016, v. 53 n. 2, p. 554-571 | - |
dc.identifier.issn | 0021-9002 | - |
dc.identifier.uri | http://hdl.handle.net/10722/214583 | - |
dc.description.abstract | In this paper the optimal dividend (subject to transaction costs) and reinsurance (with two reinsurers) problem is studied in the limit diffusion setting. It is assumed that transaction costs and taxes are required when dividends occur, and that the premiums charged by two reinsurers are calculated according to the exponential premium principle with different parameters, which makes the stochastic control problem nonlinear. The objective of the insurer is to determine the optimal reinsurance and dividend policy so as to maximize the expected discounted dividends until ruin. The problem is formulated as a mixed classical-impulse stochastic control problem. Explicit expressions for the value function and the corresponding optimal strategy are obtained. Finally, a numerical example is presented to illustrate the impact of the parameters associated with the two reinsurers' premium principle on the optimal reinsurance strategy. | - |
dc.language | eng | - |
dc.publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html | - |
dc.relation.ispartof | Journal of Applied Probability | - |
dc.rights | Journal of Applied Probability. Copyright © Applied Probability Trust. | - |
dc.subject | Dividend | - |
dc.subject | Exponential premium principle | - |
dc.subject | Optimal reinsurance with two reinsurers | - |
dc.subject | Reinsurance | - |
dc.subject | Transaction costs | - |
dc.title | Optimal dividend and reinsurance in the presence of two reinsurers | - |
dc.type | Article | - |
dc.identifier.email | Chen, M: chenmi06@hku.hk | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1017/jpr.2016.20 | - |
dc.identifier.scopus | eid_2-s2.0-84975523241 | - |
dc.identifier.hkuros | 250011 | - |
dc.identifier.volume | 53 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 554 | - |
dc.identifier.epage | 571 | - |
dc.identifier.isi | WOS:000378598700019 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 0021-9002 | - |