File Download
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1017/10.1017/asb.2015.28
- Scopus: eid_2-s2.0-84955622101
- Find via
Supplementary
-
Citations:
- Scopus: 0
- Appears in Collections:
Article: Optimal dividend and reinsurance strategies with financing and liquidation value
Title | Optimal dividend and reinsurance strategies with financing and liquidation value |
---|---|
Authors | |
Keywords | Dividend strategy financing strategy liquidation value proportional reinsurance transaction costs |
Issue Date | 2016 |
Publisher | Cambridge 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? |
Abstract | This 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 Identifier | http://hdl.handle.net/10722/231319 |
ISSN | 2023 Impact Factor: 1.7 2023 SCImago Journal Rankings: 0.979 |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yao, D | - |
dc.contributor.author | Yang, H | - |
dc.contributor.author | Wang, R | - |
dc.date.accessioned | 2016-09-20T05:22:17Z | - |
dc.date.available | 2016-09-20T05:22:17Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | ASTIN Bulletin, 2016, v. 46 n. 2, p. 365-399 | - |
dc.identifier.issn | 0515-0361 | - |
dc.identifier.uri | http://hdl.handle.net/10722/231319 | - |
dc.description.abstract | This 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.language | eng | - |
dc.publisher | Cambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=ASB | - |
dc.relation.ispartof | ASTIN Bulletin | - |
dc.rights | ASTIN Bulletin. Copyright © Cambridge University Press. | - |
dc.subject | Dividend strategy | - |
dc.subject | financing strategy | - |
dc.subject | liquidation value | - |
dc.subject | proportional reinsurance | - |
dc.subject | transaction costs | - |
dc.title | Optimal dividend and reinsurance strategies with financing and liquidation value | - |
dc.type | Article | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1017/10.1017/asb.2015.28 | - |
dc.identifier.scopus | eid_2-s2.0-84955622101 | - |
dc.identifier.hkuros | 263494 | - |
dc.identifier.volume | 46 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 365 | - |
dc.identifier.epage | 399 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 0515-0361 | - |