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Article: Optimal dividends and reinsurance with capital injection under thinning dependence
Title | Optimal dividends and reinsurance with capital injection under thinning dependence |
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Authors | |
Keywords | Capital injection dividends reinsurance variance premium principle thinning dependence |
Issue Date | 2020 |
Publisher | Taylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp |
Citation | Communications in Statistics: Theory and Methods, 2020, Epub 2020-11-26 How to Cite? |
Abstract | In this paper, we adopt the variance premium principle to investigate the problem of optimal dividends and reinsurance in a diffusion approximation risk model with thinning-dependence structure. We first study the optimal problem without capital injection. We then consider the incorporation of forced capital injection into the model whenever the reserve level drops below zero. We finally turn to the general problem in which capital injection is allowed but not compulsory. For the three optimal problems, we apply the technique of stochastic control theory to obtain closed-form expressions for the optimal strategies and the corresponding value functions for two classes of insurance business with thinning dependence. Under the assumption of non cheap reinsurance, we obtain results that are quite different from those in the case of cheap reinsurance for both bounded and unbounded dividend rates. Furthermore some numerical examples are presented to show the effect of parameter values on the optimal policies. |
Persistent Identifier | http://hdl.handle.net/10722/291183 |
ISSN | 2023 Impact Factor: 0.6 2023 SCImago Journal Rankings: 0.446 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Chen, M | - |
dc.contributor.author | Zhou, M | - |
dc.contributor.author | Liu, H | - |
dc.contributor.author | Yuen, KC | - |
dc.date.accessioned | 2020-11-07T13:53:24Z | - |
dc.date.available | 2020-11-07T13:53:24Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Communications in Statistics: Theory and Methods, 2020, Epub 2020-11-26 | - |
dc.identifier.issn | 0361-0926 | - |
dc.identifier.uri | http://hdl.handle.net/10722/291183 | - |
dc.description.abstract | In this paper, we adopt the variance premium principle to investigate the problem of optimal dividends and reinsurance in a diffusion approximation risk model with thinning-dependence structure. We first study the optimal problem without capital injection. We then consider the incorporation of forced capital injection into the model whenever the reserve level drops below zero. We finally turn to the general problem in which capital injection is allowed but not compulsory. For the three optimal problems, we apply the technique of stochastic control theory to obtain closed-form expressions for the optimal strategies and the corresponding value functions for two classes of insurance business with thinning dependence. Under the assumption of non cheap reinsurance, we obtain results that are quite different from those in the case of cheap reinsurance for both bounded and unbounded dividend rates. Furthermore some numerical examples are presented to show the effect of parameter values on the optimal policies. | - |
dc.language | eng | - |
dc.publisher | Taylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp | - |
dc.relation.ispartof | Communications in Statistics: Theory and Methods | - |
dc.rights | AOM/Preprint Before Accepted: his article has been accepted for publication in [JOURNAL TITLE], published by Taylor & Francis. AOM/Preprint After Accepted: This is an [original manuscript / preprint] of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI]. Accepted Manuscript (AM) i.e. Postprint This is an Accepted Manuscript of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI]. | - |
dc.subject | Capital injection | - |
dc.subject | dividends | - |
dc.subject | reinsurance | - |
dc.subject | variance premium principle | - |
dc.subject | thinning dependence | - |
dc.title | Optimal dividends and reinsurance with capital injection under thinning dependence | - |
dc.type | Article | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1080/03610926.2020.1845737 | - |
dc.identifier.scopus | eid_2-s2.0-85096805065 | - |
dc.identifier.hkuros | 318607 | - |
dc.identifier.volume | Epub 2020-11-26 | - |
dc.identifier.isi | WOS:000592610100001 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 0361-0926 | - |