Optimal mixed impulse-equity insurance control problem with reinsurance

Hui Meng*, Tak Kuen Siu

*Corresponding author for this work

Research output: Contribution to journalArticle

22 Citations (Scopus)
4 Downloads (Pure)

Abstract

We investigate an optimal financing and dividend control problem of an insurance company facing fixed and proportional transaction costs. The goal of the company is to maximize the expected present value of future dividends after deduction of the equity issuance until the time of bankruptcy. We formulate the problem as a mixed classical-impulse control and discuss the problem using the HJB dynamic programming approach. A viscosity solution is considered and its uniqueness is established. We also give results for the regularity and structure of the value function and the optimal policy of the control problem.

Original languageEnglish
Pages (from-to)254-279
Number of pages26
JournalSIAM Journal on Control and Optimization
Volume49
Issue number1
DOIs
Publication statusPublished - 2011

Bibliographical note

Copyright SIAM Publications. Article archived for private and non-commercial use with the permission of the author and according to publisher conditions. For further information see http://www.siam.org/.

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