File Download
There are no files associated with this item.
Supplementary
-
Citations:
- Appears in Collections:
Conference Paper: Optimal dividends and reinsurance with capital injection under thinning dependence
Title | Optimal dividends and reinsurance with capital injection under thinning dependence |
---|---|
Authors | |
Issue Date | 2016 |
Citation | The 20th International Congress on Insurance: Mathematics and Economics (IME), Georgia State University, Atlanta, GA., 24-27 July 2016. How to Cite? |
Abstract | In this talk, we adopt the variance premium principle to investigate the problem of optimal dividends and reinsurance in a diffusion approximation risk model with thinning-dependence structure. We first study the optimal problem without capital injection. We then consider the incorporation of forced capital injection into the model whenever the reserve level drops below zero. We finally turn to the general problem in which capital injection is allowed but not compulsory. For the three optimal problems, we apply the technique of stochastic control theory to obtain closed-form expressions for the optimal strategies and the corresponding value functions for two classes of insurance business with thinning dependence. We also present some numerical examples to show the effect of parameter values on the optimal policies. |
Persistent Identifier | http://hdl.handle.net/10722/232780 |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yuen, KC | - |
dc.contributor.author | Chen, M | - |
dc.contributor.author | Zhou, M | - |
dc.date.accessioned | 2016-09-20T05:32:16Z | - |
dc.date.available | 2016-09-20T05:32:16Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | The 20th International Congress on Insurance: Mathematics and Economics (IME), Georgia State University, Atlanta, GA., 24-27 July 2016. | - |
dc.identifier.uri | http://hdl.handle.net/10722/232780 | - |
dc.description.abstract | In this talk, we adopt the variance premium principle to investigate the problem of optimal dividends and reinsurance in a diffusion approximation risk model with thinning-dependence structure. We first study the optimal problem without capital injection. We then consider the incorporation of forced capital injection into the model whenever the reserve level drops below zero. We finally turn to the general problem in which capital injection is allowed but not compulsory. For the three optimal problems, we apply the technique of stochastic control theory to obtain closed-form expressions for the optimal strategies and the corresponding value functions for two classes of insurance business with thinning dependence. We also present some numerical examples to show the effect of parameter values on the optimal policies. | - |
dc.language | eng | - |
dc.relation.ispartof | International Congress on Insurance: Mathematics and Economics, IME 2016 | - |
dc.title | Optimal dividends and reinsurance with capital injection under thinning dependence | - |
dc.type | Conference_Paper | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.identifier.hkuros | 263592 | - |