Abstract
This study investigates a combined optimal financing, reinsurance and dividend distribution problem for a big insurance portfolio. A manager can control
the surplus by buying proportional reinsurance, paying dividends and raising
money dynamically. The transaction costs and liquidation values at bankruptcy
are included in the risk model. Under the objective of maximising the insurance
company’s value, we identify the insurer’s joint optimal strategies using stochastic control methods. The results reveal that managers should consider financing
if and only if the terminal value and the transaction costs are not too high,
less reinsurance is bought when the surplus increases or dividends are always
distributed using the barrier strategy
the surplus by buying proportional reinsurance, paying dividends and raising
money dynamically. The transaction costs and liquidation values at bankruptcy
are included in the risk model. Under the objective of maximising the insurance
company’s value, we identify the insurer’s joint optimal strategies using stochastic control methods. The results reveal that managers should consider financing
if and only if the terminal value and the transaction costs are not too high,
less reinsurance is bought when the surplus increases or dividends are always
distributed using the barrier strategy
| Original language | English |
|---|---|
| Pages (from-to) | 365-399 |
| Journal | ASTIN Bulletin |
| Volume | 46 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2016 |
| Externally published | Yes |