Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Optimal Dividend and Proportional Reinsurance Strategy Under Standard Deviation Premium Principle

Optimal Dividend and Proportional Reinsurance Strategy Under Standard Deviation Premium Principle This paper investigates the optimal dividend and proportional reinsurance problem. The reinsurance premium principle is calculated by the standard deviation premium principle rather than the expected value premium principle. The objective is to maximize the discounted value of accumulated dividend payments. Two cases are discussed here to solve this optimization problem, based on whether there is a restriction on the dividend rate or not. Closed-form expressions for the value function and optimal dividend and reinsurance policies are obtained for both cases. Finally, numerical examples are given to describe the effect of the parameters on the value function. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Bulletin of the Malaysian Mathematical Sciences Society Springer Journals

Optimal Dividend and Proportional Reinsurance Strategy Under Standard Deviation Premium Principle

Download PDF
20 pages

Loading next page...
 
/lp/springer-journals/optimal-dividend-and-proportional-reinsurance-strategy-under-standard-YQ4N01vEL0
Publisher
Springer Journals
Copyright
Copyright © Malaysian Mathematical Sciences Society and Penerbit Universiti Sains Malaysia 2021
ISSN
0126-6705
eISSN
2180-4206
DOI
10.1007/s40840-021-01220-w
Publisher site
See Article on Publisher Site

Abstract

This paper investigates the optimal dividend and proportional reinsurance problem. The reinsurance premium principle is calculated by the standard deviation premium principle rather than the expected value premium principle. The objective is to maximize the discounted value of accumulated dividend payments. Two cases are discussed here to solve this optimization problem, based on whether there is a restriction on the dividend rate or not. Closed-form expressions for the value function and optimal dividend and reinsurance policies are obtained for both cases. Finally, numerical examples are given to describe the effect of the parameters on the value function.

Journal

Bulletin of the Malaysian Mathematical Sciences Society – Springer Journals

Published: Mar 1, 2022

Keywords: Standard deviation premium principle; Stochastic control; Dividend optimization; Proportion reinsurance; Optimal strategy; Hamilton–Jacobi–Bellman equation; 60J99; 91G05

References

  • Controlled diffusion models for optimal dividend pay-out
    Asmussen, S; Taksar, M
  • Optimal reinsurance and dividend distribution policies in the Cramér–Lundberg model
    Azcue, P; Muler, N
  • Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm
    Cadenillas, A; Choulli, T; Taksar, M; Zhang, L
  • Optimal reinsurance under the principle of standard deviation calculation
    Cao, Y; Zhang, Y
  • A diffusion model for optimal dividend distribution for a company with constraints on risk control
    Choulli, T; Taksar, M; Zhou, X
  • Interplay between dividend rate and business constraints for a financial corporation
    Choulli, T; Taksar, M; Zhou, XY
  • Su un’impostazione alternativa della teoria collettiva del rischio
    De Finetti, B
  • Entscheidungskriterien für den zusammengesetzten Poisson-Prozess
    Gerber, HU
  • Optimal proportional reinsurance policies for diffusion models
    Højgaard, B; Taksar, M
  • Controlling risk exposure and dividends payout schemes: insurance company example
    Højgaard, B; Taksar, M
  • Optimal dividend strategies in a Cramér–Lundberg model with capital injections
    Kulenko, N; Schmidli, H
  • Optimality of excess-loss reinsurance under a mean-variance criterion
    Li, D; Li, D; Young, VR
  • Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
    Li, D; Shen, C
  • Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
    Liang, X; Liang, Z; Young, VR
  • Impulse control of proportional reinsurance with constraints
    Meng, H; Siu, TK
  • Optimal dividend and equity issuance problem with proportional and fixed transaction costs
    Peng, X; Chen, M; Guo, J
  • On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
    Peng, X; Su, W; Zhang, Z
  • Optimal reinsurance under the standard deviation principle
    Song, L; Huang, Y; Zhou, J
  • Optimal risk and dividend distribution control models for an insurance company
    Taksar, M
  • Optimal dynamic reinsurance policies for large insurance portfolios
    Taksar, M; Markussen, C
  • Optimal risk and dividend control for a company with a debt liability
    Taksar, M; Zhou, XY
  • Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle
    Tan, K; Wei, P; Wei, W
  • Optimal mean-variance reinsurance in a financial market with stochastic rate of return
    Tian, Y; Guo, J; Sun, Z
  • Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle
    Yao, D; Wang, R; Xu, L
  • Optimal dividend and reinsurance strategies with financing and liquidation value
    Yao, D; Yang, H; Wang, R
  • Optimal reinsurance and dividend for a diffusion model with capital injection: variance premium principle
    Zhou, M; Yuen, KC