随机时间区间通过分红和再保险最大化保险公司价值

Abstract

Abstract:

In this paper, we investigates optimal dividend and reinsurance policies for an insurer with a random time horizon. The goal of the insurer is to maximize the value of the insurance company when the random time or the ruin time arrives. This value consists of three parts: the dividends up to the random time or the ruin time, the surplus at the random time or the ruin time and the company's brand value. We identify the insurer's joint optimal strategies using stochastic control methods. The results reveal that managers should consider no reinsurance if and only if the brand value or the surplus is too high, less reinsurance is bought when the surplus increases, and dividends are always distributed using the barrier strategy.

Key words: Solvency regulation, Dividend, Reinsurance, Brand value, Stochastic control

CLC Number:

O212.62

Liu Xiao, Ye Yangshuai, Xu Lin. Maximizing Insurer's Firm Value by Dividend and Reinsurance with a Random Time Horizon[J].Acta mathematica scientia,Series A, 2023, 43(6): 1843-1854.

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References

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Maximizing Insurer's Firm Value by Dividend and Reinsurance with a Random Time Horizon

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