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Article: Optimal dividend and reinsurance in the presence of two reinsurers

TitleOptimal dividend and reinsurance in the presence of two reinsurers
Authors
Issue Date2016
PublisherApplied 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?
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/214583
ISSN
2015 Impact Factor: 0.665
2015 SCImago Journal Rankings: 0.742

 

DC FieldValueLanguage
dc.contributor.authorChen, M-
dc.contributor.authorYuen, KC-
dc.date.accessioned2015-08-21T11:39:00Z-
dc.date.available2015-08-21T11:39:00Z-
dc.date.issued2016-
dc.identifier.citationJournal of Applied Probability, 2016, v. 53 n. 2, p. 554-571-
dc.identifier.issn0021-9002-
dc.identifier.urihttp://hdl.handle.net/10722/214583-
dc.description.abstractIn 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.languageeng-
dc.publisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html-
dc.relation.ispartofJournal of Applied Probability-
dc.rightsJournal of Applied Probability. Copyright © Applied Probability Trust.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleOptimal dividend and reinsurance in the presence of two reinsurers-
dc.typeArticle-
dc.identifier.emailChen, M: chenmi06@hku.hk-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturepostprint-
dc.identifier.hkuros250011-
dc.identifier.volume53-
dc.identifier.issue2-
dc.identifier.spage554-
dc.identifier.epage571-
dc.publisher.placeUnited Kingdom-

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