Impulse control of proportional reinsurance with constraints

Hui Meng; Tak Kuen Siu

doi:10.1155/2011/190603

Impulse control of proportional reinsurance with constraints

Hui Meng, Tak Kuen Siu^*

^*Corresponding author for this work

Department of Applied Finance

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

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Abstract

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 language	English
Article number	190603
Pages (from-to)	1-13
Number of pages	13
Journal	International Journal of Stochastic Analysis
Volume	2011
DOIs	https://doi.org/10.1155/2011/190603
Publication status	Published - 2011

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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.

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Impulse control of proportional reinsurance with constraints

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