Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate
Joint Authors
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-08-11
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company taking into account the time value of ruin.
We assume the preference of the insurer is of the CRRA form.
The discounting factor is modeled as a geometric Brownian motion.
We introduce the VaR control levels for the insurer to control its loss in reinsurance strategies.
By solving the corresponding Hamilton-Jacobi-Bellman equation, we obtain the value function and the corresponding optimal strategy.
Finally, we provide some numerical examples to illustrate the results and analyze the VaR control levels on the optimal strategy.
American Psychological Association (APA)
Wen, Yuzhen& Yin, Chuancun. 2020. Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate. Journal of Function Spaces،Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1185384
Modern Language Association (MLA)
Wen, Yuzhen& Yin, Chuancun. Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate. Journal of Function Spaces No. 2020 (2020), pp.1-13.
https://search.emarefa.net/detail/BIM-1185384
American Medical Association (AMA)
Wen, Yuzhen& Yin, Chuancun. Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate. Journal of Function Spaces. 2020. Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1185384
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1185384