The Optimal Policy for Insurance Company Under Consideration of Internal Competition and the Time Value of Ruin
The Optimal Policy for Insurance Company Under Consideration of Internal Competition and the Time Value of Ruin作者机构:School of Mathematics and System SciencesXinjiang University School of Mathematics and StatisticsWuhan University
出 版 物:《Acta Mathematicae Applicatae Sinica》 (应用数学学报(英文版))
年 卷 期:2014年第30卷第3期
页 面:807-818页
核心收录:
学科分类:12[管理学] 02[经济学] 0202[经济学-应用经济学] 1204[管理学-公共管理] 020204[经济学-金融学(含∶保险学)] 07[理学] 070104[理学-应用数学] 120404[管理学-社会保障] 0701[理学-数学] 0812[工学-计算机科学与技术(可授工学、理学学位)]
基 金:Supported by the National Natural Science Foundation of China(No.10971157) the Natural Science Foundation of Xinjiang University(No.BS100102)
主 题:dividend payment proportional reinsurance internal competition Hamilton-Jacobi-Bellman (HJB)equation
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.