Centro de Documentacion de Fundación MAPFRE - Optimal dividend and reinsurance strategies with financing and liquidation value

MAP20160024197

Optimal dividend and reinsurance strategies with financing and liquidation value / Dingjun Yao, Hailiang Yang, Rongming Wang

Sumario: 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, it is identifies 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 365-399

I. Yang, Hailiang . II. Wang, Rongming . III. Title.