The Optimal Policy for Insurance Company Under Consideration of Internal Competition and the Time Value of Ruin 被引量：1

The Optimal Policy for Insurance Company Under Consideration of Internal Competition and the Time Value of Ruin

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摘要 This paper considers the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside the company. The objective is to find a reinsurance policy and a dividend payment scheme so as to maximize the expected discounted value of the dividend payment, and the expected present value of an amount which the insurer earns until the time of ruin. By solving the corresponding constrained Hamilton-Jacobi-Bellman （HJB） equation, we obtain the value function and the optimal reinsurance policy and dividend payment. This paper considers the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside the company. The objective is to find a reinsurance policy and a dividend payment scheme so as to maximize the expected discounted value of the dividend payment, and the expected present value of an amount which the insurer earns until the time of ruin. By solving the corresponding constrained Hamilton-Jacobi-Bellman （HJB） equation, we obtain the value function and the optimal reinsurance policy and dividend payment.

作者 Wei LIU Yi-jun HU

机构地区 School of Mathematics and System Sciences School of Mathematics and Statistics

出处《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2014年第3期807-818,共12页 应用数学学报（英文版）

基金 Supported by the National Natural Science Foundation of China(No.10971157) the Natural Science Foundation of Xinjiang University(No.BS100102)

关键词 dividend payment proportional reinsurance internal competition Hamilton-Jacobi-Bellman （HJB）equation dividend payment proportional reinsurance internal competition Hamilton-Jacobi-Bellman （HJB）equation

分类号 F840 [经济管理—保险] O175 [理学—基础数学]

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