The optimal strategy for insurance company under the influence of terminal value |
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| Authors: | Wei Liu Haili Yuan |
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| Affiliation: | a School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
b School of Mathematics and System Sciences, Xinjiang University, Urumqi 830046, China |
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| Abstract: | This paper considers a model of an insurance company which is allowed to invest a risky asset and to purchase proportional reinsurance. The objective is to find the policy which maximizes the expected total discounted dividend pay-out until the time of bankruptcy and the terminal value of the company under liquidity constraint. We find the solution of this problem via solving the problem with zero terminal value. We also analyze the influence of terminal value on the optimal policy. |
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| Keywords: | proportional reinsurance terminal value optimal policy HJB equation |
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