Optimal Investment and Consumption for an Insurer with High-Watermark Performance Fee
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-27
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
The optimal investment and consumption problem is investigated for an insurance company, which is subject to the payment of high-watermark fee from profit.
The objective of insurance company is to maximize the expected cumulated discount utility up to ruin time.
The consumption behavior considered in this paper can be viewed as dividend payment of the insurance company.
It turns out that the value function of the proposed problem is the viscosity solution to the associated HJB equation.
The regularity of the viscosity is discussed and some asymptotic results are provided.
With the help of the smooth properties of viscosity solutions, we complete the verification theorem of the optimal control policies and the potential applications of the main result are discussed.
American Psychological Association (APA)
Xu, Lin& Wang, Hao& Yao, Dingjun. 2015. Optimal Investment and Consumption for an Insurer with High-Watermark Performance Fee. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-14.
https://search.emarefa.net/detail/BIM-1073782
Modern Language Association (MLA)
Xu, Lin…[et al.]. Optimal Investment and Consumption for an Insurer with High-Watermark Performance Fee. Mathematical Problems in Engineering No. 2015 (2015), pp.1-14.
https://search.emarefa.net/detail/BIM-1073782
American Medical Association (AMA)
Xu, Lin& Wang, Hao& Yao, Dingjun. Optimal Investment and Consumption for an Insurer with High-Watermark Performance Fee. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-14.
https://search.emarefa.net/detail/BIM-1073782
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1073782