Impulse control of proportional reinsurance with constraints

Hui Meng, Tak Kuen Siu*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)
9 Downloads (Pure)


We consider an insurance company whose surplus follows a diffusion process with proportional reinsurance and impulse dividend control. Our objective is to maximize expected discounted dividend payouts to shareholders of the company until the time of bankruptcy. To meet some essential requirements of solvency control (e.g., bankruptcy not soon), we impose some constraints on the insurance company's dividend policy. Under two types of constraints, we derive the value functions and optimal control policies of the company.

Original languageEnglish
Article number190603
Pages (from-to)1-13
Number of pages13
JournalInternational Journal of Stochastic Analysis
Publication statusPublished - 2011

Bibliographical note

Copyright the Author(s) 2011. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.


Dive into the research topics of 'Impulse control of proportional reinsurance with constraints'. Together they form a unique fingerprint.

Cite this