Optimal reinsurance and dividend distribution policies in the cramér-lundberg model

We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of controlling the risk by means of reinsurance. Our aim is to find a dynamic choice of both the reinsurance policy and the dividend distribution strategy that maximizes the cum...

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Detalles Bibliográficos
Publicado: 2005
Materias:
Cramér-Lundberg process
Dividend payouts
Dynamic programming principle
Hamilton-Jacobi-Bellman equation
Insurance
Reinsurance
Risk control
Viscosity solution
Acceso en línea:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09601627_v15_n2_p261_Azcue
http://hdl.handle.net/20.500.12110/paper_09601627_v15_n2_p261_Azcue
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id paper:paper_09601627_v15_n2_p261_Azcue
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spelling paper:paper_09601627_v15_n2_p261_Azcue2023-06-08T15:57:35Z Optimal reinsurance and dividend distribution policies in the cramér-lundberg model Cramér-Lundberg process Dividend payouts Dynamic programming principle Hamilton-Jacobi-Bellman equation Insurance Reinsurance Risk control Viscosity solution We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of controlling the risk by means of reinsurance. Our aim is to find a dynamic choice of both the reinsurance policy and the dividend distribution strategy that maximizes the cumulative expected discounted dividend payouts. We study the usual cases of excess-of-loss and proportional reinsurance as well as the family of all possible reinsurance contracts. We characterize the optimal value function as the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation and we prove that there exists an optimal band strategy. We also describe the optimal value function for small initial reserves. © 2005 Blackwell Publishing Inc. 2005 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09601627_v15_n2_p261_Azcue http://hdl.handle.net/20.500.12110/paper_09601627_v15_n2_p261_Azcue
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Cramér-Lundberg process
Dividend payouts
Dynamic programming principle
Hamilton-Jacobi-Bellman equation
Insurance
Reinsurance
Risk control
Viscosity solution
spellingShingle Cramér-Lundberg process
Dividend payouts
Dynamic programming principle
Hamilton-Jacobi-Bellman equation
Insurance
Reinsurance
Risk control
Viscosity solution
Optimal reinsurance and dividend distribution policies in the cramér-lundberg model
topic_facet Cramér-Lundberg process
Dividend payouts
Dynamic programming principle
Hamilton-Jacobi-Bellman equation
Insurance
Reinsurance
Risk control
Viscosity solution
description We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of controlling the risk by means of reinsurance. Our aim is to find a dynamic choice of both the reinsurance policy and the dividend distribution strategy that maximizes the cumulative expected discounted dividend payouts. We study the usual cases of excess-of-loss and proportional reinsurance as well as the family of all possible reinsurance contracts. We characterize the optimal value function as the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation and we prove that there exists an optimal band strategy. We also describe the optimal value function for small initial reserves. © 2005 Blackwell Publishing Inc.
title Optimal reinsurance and dividend distribution policies in the cramér-lundberg model
title_short Optimal reinsurance and dividend distribution policies in the cramér-lundberg model
title_full Optimal reinsurance and dividend distribution policies in the cramér-lundberg model
title_fullStr Optimal reinsurance and dividend distribution policies in the cramér-lundberg model
title_full_unstemmed Optimal reinsurance and dividend distribution policies in the cramér-lundberg model
title_sort optimal reinsurance and dividend distribution policies in the cramér-lundberg model
publishDate 2005
url https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09601627_v15_n2_p261_Azcue
http://hdl.handle.net/20.500.12110/paper_09601627_v15_n2_p261_Azcue
_version_ 1768546637542588416

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