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Optimal dividend and reinsurance strategies with financing and liquidation value

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20160024197
003  MAP
005  20160809145945.0
008  160808e20160502usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20160009859‎$a‎Yao, Dingjun
24510‎$a‎Optimal dividend and reinsurance strategies with financing and liquidation value‎$c‎Dingjun Yao, Hailiang Yang, Rongming Wang
520  ‎$a‎This 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
7001 ‎$0‎MAPA20080653507‎$a‎Yang, Hailiang
7001 ‎$0‎MAPA20160009866‎$a‎Wang, Rongming
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 365-399