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Article: Optimal dividend and reinsurance strategies with financing and liquidation value

TitleOptimal dividend and reinsurance strategies with financing and liquidation value
Authors
Issue Date2016
PublisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=ASB
Citation
ASTIN Bulletin, 2016, v. 46 n. 2, p. 365-399 How to Cite?
AbstractThis study investigates a combined optimal financing, reinsurance and dividend distribution problem for a big insurance portfolio. A manager can control the surplus by buying proportional reinsurance, paying dividends and raising money dynamically. The transaction costs and liquidation values at bankruptcy are included in the risk model. Under the objective of maximising the insurance company's value, we identify the insurer's joint optimal strategies using stochastic control methods. The results reveal that managers should consider financing if and only if the terminal value and the transaction costs are not too high, less reinsurance is bought when the surplus increases or dividends are always distributed using the barrier strategy.
Persistent Identifierhttp://hdl.handle.net/10722/231319
ISSN
2015 Impact Factor: 0.732
2015 SCImago Journal Rankings: 0.979

 

DC FieldValueLanguage
dc.contributor.authorYao, D-
dc.contributor.authorYang, H-
dc.contributor.authorWang, R-
dc.date.accessioned2016-09-20T05:22:17Z-
dc.date.available2016-09-20T05:22:17Z-
dc.date.issued2016-
dc.identifier.citationASTIN Bulletin, 2016, v. 46 n. 2, p. 365-399-
dc.identifier.issn0515-0361-
dc.identifier.urihttp://hdl.handle.net/10722/231319-
dc.description.abstractThis study investigates a combined optimal financing, reinsurance and dividend distribution problem for a big insurance portfolio. A manager can control the surplus by buying proportional reinsurance, paying dividends and raising money dynamically. The transaction costs and liquidation values at bankruptcy are included in the risk model. Under the objective of maximising the insurance company's value, we identify the insurer's joint optimal strategies using stochastic control methods. The results reveal that managers should consider financing if and only if the terminal value and the transaction costs are not too high, less reinsurance is bought when the surplus increases or dividends are always distributed using the barrier strategy.-
dc.languageeng-
dc.publisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=ASB-
dc.relation.ispartofASTIN Bulletin-
dc.rightsASTIN Bulletin. Copyright © Cambridge University Press.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleOptimal dividend and reinsurance strategies with financing and liquidation value-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.1017/10.1017/asb.2015.28-
dc.identifier.hkuros263494-
dc.identifier.volume46-
dc.identifier.issue2-
dc.identifier.spage365-
dc.identifier.epage399-
dc.publisher.placeUnited Kingdom-

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