Article: Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching

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TitleClassical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching
AuthorsWei, J3
Yang, H2
Wang, R1 3
KeywordsDividend strategy
Proportional reinsurance
Quasi-variational inequality
Regime switching
Viscosity solution
Issue Date2010
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239
CitationJournal Of Optimization Theory And Applications, 2010, v. 147 n. 2, p. 358-377 [How to Cite?]
DOI: http://dx.doi.org/10.1007/s10957-010-9726-x
AbstractWe consider the optimal proportional reinsurance and dividend strategy. The surplus process is modeled by the classical compound Poisson risk model with regime switching. Considering a class of utility functions, the object of the insurer is to select the reinsurance and dividend strategy that maximizes the expected total discounted utility of the shareholders until ruin. By adapting the techniques and methods of stochastic control, we study the quasi-variational inequality for this classical and impulse control problem and establish a verification theorem. We show that the optimal value function is characterized as the unique viscosity solution of the corresponding quasi-variational inequality. © 2010 Springer Science+Business Media, LLC.
ISSN0022-3239
2011 Impact Factor: 1.062
2011 SCImago Journal Rankings: 0.053
DOIhttp://dx.doi.org/10.1007/s10957-010-9726-x
ISI Accession Number IDWOS:000282702200009
Funding AgencyGrant Number
ECNU2010050
Research Grants Council of the Hong Kong Special Administrative Region, ChinaHKU 7540/08H
National Natural Science Foundation of China10971068
National Basic Research Program of China (973 Program)2007CB814904
Funding Information:

We would like to thank the referees for their valuable comments and suggestions. J. Wei would like to acknowledge the PHD Program Scholarship Fund of ECNU (No. 2010050). H. Yang would like to acknowledge the Research Grants Council of the Hong Kong Special Administrative Region, China (project No. HKU 7540/08H). R. Wang would like to acknowledge the National Natural Science Foundation of China (10971068), and the National Basic Research Program of China (973 Program) under grant number 2007CB814904.

ReferencesReferences in Scopus
DC Field
Value
dc.contributor.authorWei, J
dc.contributor.authorYang, H
dc.contributor.authorWang, R
dc.date.accessioned2011-07-27T01:36:09Z
dc.date.available2011-07-27T01:36:09Z
dc.date.issued2010
dc.description.abstractWe consider the optimal proportional reinsurance and dividend strategy. The surplus process is modeled by the classical compound Poisson risk model with regime switching. Considering a class of utility functions, the object of the insurer is to select the reinsurance and dividend strategy that maximizes the expected total discounted utility of the shareholders until ruin. By adapting the techniques and methods of stochastic control, we study the quasi-variational inequality for this classical and impulse control problem and establish a verification theorem. We show that the optimal value function is characterized as the unique viscosity solution of the corresponding quasi-variational inequality. © 2010 Springer Science+Business Media, LLC.
dc.description.natureLink_to_subscribed_fulltext
dc.identifier.citationJournal Of Optimization Theory And Applications, 2010, v. 147 n. 2, p. 358-377 [How to Cite?]
DOI: http://dx.doi.org/10.1007/s10957-010-9726-x
dc.identifier.citeulike7297332
dc.identifier.doihttp://dx.doi.org/10.1007/s10957-010-9726-x
dc.identifier.epage377
dc.identifier.hkuros187196
dc.identifier.isiWOS:000282702200009
Funding AgencyGrant Number
ECNU2010050
Research Grants Council of the Hong Kong Special Administrative Region, ChinaHKU 7540/08H
National Natural Science Foundation of China10971068
National Basic Research Program of China (973 Program)2007CB814904
Funding Information:

We would like to thank the referees for their valuable comments and suggestions. J. Wei would like to acknowledge the PHD Program Scholarship Fund of ECNU (No. 2010050). H. Yang would like to acknowledge the Research Grants Council of the Hong Kong Special Administrative Region, China (project No. HKU 7540/08H). R. Wang would like to acknowledge the National Natural Science Foundation of China (10971068), and the National Basic Research Program of China (973 Program) under grant number 2007CB814904.

dc.identifier.issn0022-3239
2011 Impact Factor: 1.062
2011 SCImago Journal Rankings: 0.053
dc.identifier.issue2
dc.identifier.openurl
dc.identifier.scopuseid_2-s2.0-77958153074
dc.identifier.spage358
dc.identifier.urihttp://hdl.handle.net/10722/135506
dc.identifier.volume147
dc.languageeng
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239
dc.publisher.placeUnited States
dc.relation.ispartofJournal of Optimization Theory and Applications
dc.relation.referencesReferences in Scopus
dc.rightsThe original publication is available at www.springerlink.com
dc.subjectDividend strategy
dc.subjectProportional reinsurance
dc.subjectQuasi-variational inequality
dc.subjectRegime switching
dc.subjectViscosity solution
dc.titleClassical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching
dc.typeArticle
Author Affiliations
  1. Shandong University
  2. The University of Hong Kong
  3. East China Normal University