Optimal financing and dividend control of the insurance company with excess-of-loss reinsurance policy |
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Affiliation: | 1. Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China;2. College of Mathematics and System Science, Xinjiang University, Urumqi, Xinjiang 830046, China |
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Abstract: | In this paper, we consider an optimal financing and dividend control problem of an insurance company. The management of the insurance company controls the dividends payout, equity issuance and the excess-of-loss reinsurance policy. In our model, the dividends are assumed to be paid out continuously, which is of interest from the perspective of financial modeling. The objective is to find the strategy which maximizes the expected present values of the dividends payout minus the equity issuance up to the time of ruin. We solve the optimal control problem and identify the optimal strategy by constructing two categories of suboptimal control problems. |
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Keywords: | Dividend Equity issuance Excess-of-loss reinsurance Optimal strategy HJB equation |
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