Translator Disclaimer
June 2016 Optimal dividend and reinsurance in the presence of two reinsurers
Mi Chen, Kam Chuen Yuen
Author Affiliations +
J. Appl. Probab. 53(2): 554-571 (June 2016).

Abstract

In 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.

Citation

Download Citation

Mi Chen. Kam Chuen Yuen. "Optimal dividend and reinsurance in the presence of two reinsurers." J. Appl. Probab. 53 (2) 554 - 571, June 2016.

Information

Published: June 2016
First available in Project Euclid: 17 June 2016

zbMATH: 1344.49028
MathSciNet: MR3514298

Subjects:
Primary: 60J65 , 62P05
Secondary: 60K30 , 60K99

Keywords: Dividend , exponential premium principle , optimal reinsurance with two reinsurers , reinsurance , Transaction costs

Rights: Copyright © 2016 Applied Probability Trust

JOURNAL ARTICLE
18 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

SHARE
Vol.53 • No. 2 • June 2016
Back to Top