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Optimal dividend and reinsurance strategies with financing and liquidation value

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<title>Optimal dividend and reinsurance strategies with financing and liquidation value</title>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20160009859">
<namePart>Yao, Dingjun</namePart>
<nameIdentifier>MAPA20160009859</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080653507">
<namePart>Yang, Hailiang</namePart>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20160009866">
<namePart>Wang, Rongming</namePart>
<nameIdentifier>MAPA20160009866</nameIdentifier>
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<genre authority="marcgt">periodical</genre>
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<placeTerm type="code" authority="marccountry">usa</placeTerm>
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<dateIssued encoding="marc">2016</dateIssued>
<issuance>serial</issuance>
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<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Dingjun Yao, Hailiang Yang, Rongming Wang</note>
<classification authority="">6</classification>
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<titleInfo>
<title>Astin bulletin</title>
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<originInfo>
<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 365-399</text>
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