2016/05/22 by Xiaoqing Liang, Liang, Xiaoqing, Zbigniew Palmowski +1
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability and Risk Models #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1605.06849
openalex publication_date 2016/05/22 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer is of CRRA form. By solving the corresponding Hamilton-Jacobi-Bellman equation, we identify the value function and the corresponding optimal strategy. We also analyze the asymptotic behavior of the value function for large initial reserves. Finally, we provide some numerical examples to illustrate the results and analyze the sensitivity of the parameters.