Article: Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model

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TitleOptimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
AuthorsWei, J2
Yang, H
Wang, R2
KeywordsCompound poisson model
Dividend strategy
HJB equation
Regime switching
Reinsurance
Issue Date2010
PublisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07362994.asp
CitationStochastic Analysis and Applications, 2010, v. 28 n. 6, p. 1078-1105 [How to Cite?]
DOI: http://dx.doi.org/10.1080/07362994.2010.515488
AbstractIn this article, we consider the optimal reinsurance and dividend strategy for an insurer. We model the surplus process of the insurer by the classical compound Poisson risk model modulated by an observable continuous-time Markov chain. The object of the insurer is to select the reinsurance and dividend strategy that maximizes the expected total discounted dividend payments until ruin. We give the definition of viscosity solution in the presence of regime switching. The optimal value function is characterized as the unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation and a verification theorem is also obtained. © Taylor & Francis Group, LLC.
ISSN0736-2994
2011 Impact Factor: 0.459
2011 SCImago Journal Rankings: 0.041
DOIhttp://dx.doi.org/10.1080/07362994.2010.515488
GrantsRisk Management of Equity-Linked Insurance Products
DC Field
Value
dc.contributor.authorWei, J
dc.contributor.authorYang, H
dc.contributor.authorWang, R
dc.date.accessioned2011-07-27T01:36:08Z
dc.date.available2011-07-27T01:36:08Z
dc.date.issued2010
dc.description.abstractIn this article, we consider the optimal reinsurance and dividend strategy for an insurer. We model the surplus process of the insurer by the classical compound Poisson risk model modulated by an observable continuous-time Markov chain. The object of the insurer is to select the reinsurance and dividend strategy that maximizes the expected total discounted dividend payments until ruin. We give the definition of viscosity solution in the presence of regime switching. The optimal value function is characterized as the unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation and a verification theorem is also obtained. © Taylor & Francis Group, LLC.
dc.description.grantRisk Management of Equity-Linked Insurance Products
dc.description.grantcode98852
dc.description.natureLink_to_subscribed_fulltext
dc.identifier.citationStochastic Analysis and Applications, 2010, v. 28 n. 6, p. 1078-1105 [How to Cite?]
DOI: http://dx.doi.org/10.1080/07362994.2010.515488
dc.identifier.doihttp://dx.doi.org/10.1080/07362994.2010.515488
dc.identifier.epage1105
dc.identifier.hkuros187183
dc.identifier.isiWOS:000283680700010
Funding AgencyGrant Number
ECNU2010050
Council of the Hong Kong Special Administrative Region, ChinaHKU 754008H
National Natural Science Foundation of China10971068
National Basic Research Program of China (973 Program)2007CB814904
New Century Excellent Talents in UniversityNCET09-0356
Central Universities
Funding Information:

The authors would like to thank the referee for careful reading the paper and the helpful comments and suggestions. J. W. would like to acknowledge the PhD Program Scholarship Fund of ECNU (No. 2010050). H. Y. would like to acknowledge the Research Grants Council of the Hong Kong Special Administrative Region, China (project No. HKU 754008H); R. W. would like to acknowledge the National Natural Science Foundation of China (10971068), National Basic Research Program of China (973 Program) under grant number 2007CB814904, Program for New Century Excellent Talents in University (NCET09-0356), and the Fundamental Research Funds for the Central Universities.

dc.identifier.issn0736-2994
2011 Impact Factor: 0.459
2011 SCImago Journal Rankings: 0.041
dc.identifier.issue6
dc.identifier.scopuseid_2-s2.0-78049501367
dc.identifier.spage1078
dc.identifier.urihttp://hdl.handle.net/10722/135502
dc.identifier.volume28
dc.languageeng
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07362994.asp
dc.publisher.placeUnited States
dc.relation.ispartofStochastic Analysis and Applications
dc.subjectCompound poisson model
dc.subjectDividend strategy
dc.subjectHJB equation
dc.subjectRegime switching
dc.subjectReinsurance
dc.titleOptimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
dc.typeArticle
Author Affiliations
  1. The University of Hong Kong
  2. East China Normal University