Impulse Control of Proportional Reinsurance with Constraints | Zendy

Hui Meng | Zendy; Tak Kuen Siu | Zendy

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Impulse Control of Proportional Reinsurance with Constraints

Author(s) -

Hui Meng,

Tak Kuen Siu

Publication year - 2011

Publication title -

international journal of stochastic analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.19

H-Index - 28

eISSN - 2090-3340

pISSN - 2090-3332

DOI - 10.1155/2011/190603

Subject(s) - reinsurance , solvency , impulse control , dividend , bankruptcy , insolvency , dividend policy , actuarial science , shareholder , stochastic control , control (management) , impulse (physics) , control theory (sociology) , economics , mathematics , econometrics , optimal control , mathematical optimization , finance , corporate governance , market liquidity , psychology , physics , management , quantum mechanics , psychotherapist

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.13 page(s

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