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

TitleClassical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching
Authors
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
Citation
Journal Of Optimization Theory And Applications, 2010, v. 147 n. 2, p. 358-377 How to Cite?
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.
Persistent Identifierhttp://hdl.handle.net/10722/135506
ISSN
2014 Impact Factor: 1.509
2014 SCImago Journal Rankings: 1.147
ISI Accession Number ID
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.

References

 

DC FieldValueLanguage
dc.contributor.authorWei, Jen_HK
dc.contributor.authorYang, Hen_HK
dc.contributor.authorWang, Ren_HK
dc.date.accessioned2011-07-27T01:36:09Z-
dc.date.available2011-07-27T01:36:09Z-
dc.date.issued2010en_HK
dc.identifier.citationJournal Of Optimization Theory And Applications, 2010, v. 147 n. 2, p. 358-377en_HK
dc.identifier.issn0022-3239en_HK
dc.identifier.urihttp://hdl.handle.net/10722/135506-
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.en_HK
dc.languageengen_US
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239en_HK
dc.relation.ispartofJournal of Optimization Theory and Applicationsen_HK
dc.rightsThe original publication is available at www.springerlink.comen_US
dc.subjectDividend strategyen_HK
dc.subjectProportional reinsuranceen_HK
dc.subjectQuasi-variational inequalityen_HK
dc.subjectRegime switchingen_HK
dc.subjectViscosity solutionen_HK
dc.titleClassical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switchingen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0022-3239&volume=147&issue=2&spage=358&epage=377&date=2010&atitle=Classical+and+impulse+control+for+the+optimization+of+dividend+and+proportional+reinsurance+policies+with+regime+switching-
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s10957-010-9726-xen_HK
dc.identifier.scopuseid_2-s2.0-77958153074en_HK
dc.identifier.hkuros187196en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77958153074&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume147en_HK
dc.identifier.issue2en_HK
dc.identifier.spage358en_HK
dc.identifier.epage377en_HK
dc.identifier.isiWOS:000282702200009-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridWei, J=24438631900en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridWang, R=7405334582en_HK
dc.identifier.citeulike7297332-

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