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Article: Optimal debt ratio and dividend payment strategies with reinsurance
Title | Optimal debt ratio and dividend payment strategies with reinsurance |
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Authors | |
Keywords | Dividend strategies Financial crisis Optimal debt ratio Reinsurance policies Stochastic control |
Issue Date | 2015 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics and Economics, 2015, v. 64, p. 351-363 How to Cite? |
Abstract | This paper derives the optimal debt ratio and dividend payment strategies for an insurance company. Taking into account the impact of reinsurance policies and claims from the credit derivatives, the surplus process is stochastic that is jointly determined by the reinsurance strategies, debt levels, and unanticipated shocks. The objective is to maximize the total expected discounted utility of dividend payment until financial ruin. Using dynamic programming principle, the value function is the solution of a second-order nonlinear Hamilton–Jacobi–Bellman equation. The subsolution–supersolution method is used to verify the existence of classical solutions of the Hamilton–Jacobi–Bellman equation. The explicit solution of the value function is derived and the corresponding optimal debt ratio and dividend payment strategies are obtained in some special cases. An example is provided to illustrate the methodologies and some interesting economic insights. |
Persistent Identifier | http://hdl.handle.net/10722/231321 |
ISSN | 2021 Impact Factor: 2.168 2020 SCImago Journal Rankings: 1.139 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Jin, Z | - |
dc.contributor.author | Yang, H | - |
dc.contributor.author | Yin, G | - |
dc.date.accessioned | 2016-09-20T05:22:18Z | - |
dc.date.available | 2016-09-20T05:22:18Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2015, v. 64, p. 351-363 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10722/231321 | - |
dc.description.abstract | This paper derives the optimal debt ratio and dividend payment strategies for an insurance company. Taking into account the impact of reinsurance policies and claims from the credit derivatives, the surplus process is stochastic that is jointly determined by the reinsurance strategies, debt levels, and unanticipated shocks. The objective is to maximize the total expected discounted utility of dividend payment until financial ruin. Using dynamic programming principle, the value function is the solution of a second-order nonlinear Hamilton–Jacobi–Bellman equation. The subsolution–supersolution method is used to verify the existence of classical solutions of the Hamilton–Jacobi–Bellman equation. The explicit solution of the value function is derived and the corresponding optimal debt ratio and dividend payment strategies are obtained in some special cases. An example is provided to illustrate the methodologies and some interesting economic insights. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | - |
dc.relation.ispartof | Insurance: Mathematics and Economics | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Dividend strategies | - |
dc.subject | Financial crisis | - |
dc.subject | Optimal debt ratio | - |
dc.subject | Reinsurance policies | - |
dc.subject | Stochastic control | - |
dc.title | Optimal debt ratio and dividend payment strategies with reinsurance | - |
dc.type | Article | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.insmatheco.2015.07.005 | - |
dc.identifier.scopus | eid_2-s2.0-84938828690 | - |
dc.identifier.hkuros | 263499 | - |
dc.identifier.volume | 64 | - |
dc.identifier.spage | 351 | - |
dc.identifier.epage | 363 | - |
dc.identifier.isi | WOS:000362133800030 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0167-6687 | - |