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Abstract:

We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of controlling the risk by means of reinsurance. Our aim is to find a dynamic choice of both the reinsurance policy and the dividend distribution strategy that maximizes the cumulative expected discounted dividend payouts. We study the usual cases of excess-of-loss and proportional reinsurance as well as the family of all possible reinsurance contracts. We characterize the optimal value function as the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation and we prove that there exists an optimal band strategy. We also describe the optimal value function for small initial reserves. © 2005 Blackwell Publishing Inc.

Registro:

Documento: Artículo
Título:Optimal reinsurance and dividend distribution policies in the cramér-lundberg model
Autor:Azcue, P.; Muler, N.
Filiación:Universidad Torcuato Di Tella, Argentina
Depto. de Matematicas y Estadistica, Universidad Torcuato Di Tella, Minones 2159/77, (1428) Buenos Aires, Argentina
Palabras clave:Cramér-Lundberg process; Dividend payouts; Dynamic programming principle; Hamilton-Jacobi-Bellman equation; Insurance; Reinsurance; Risk control; Viscosity solution
Año:2005
Volumen:15
Número:2
Página de inicio:261
Página de fin:308
DOI: http://dx.doi.org/10.1111/j.0960-1627.2005.00220.x
Título revista:Mathematical Finance
Título revista abreviado:Math. Financ.
ISSN:09601627
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09601627_v15_n2_p261_Azcue

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Citas:

---------- APA ----------
Azcue, P. & Muler, N. (2005) . Optimal reinsurance and dividend distribution policies in the cramér-lundberg model. Mathematical Finance, 15(2), 261-308.
http://dx.doi.org/10.1111/j.0960-1627.2005.00220.x
---------- CHICAGO ----------
Azcue, P., Muler, N. "Optimal reinsurance and dividend distribution policies in the cramér-lundberg model" . Mathematical Finance 15, no. 2 (2005) : 261-308.
http://dx.doi.org/10.1111/j.0960-1627.2005.00220.x
---------- MLA ----------
Azcue, P., Muler, N. "Optimal reinsurance and dividend distribution policies in the cramér-lundberg model" . Mathematical Finance, vol. 15, no. 2, 2005, pp. 261-308.
http://dx.doi.org/10.1111/j.0960-1627.2005.00220.x
---------- VANCOUVER ----------
Azcue, P., Muler, N. Optimal reinsurance and dividend distribution policies in the cramér-lundberg model. Math. Financ. 2005;15(2):261-308.
http://dx.doi.org/10.1111/j.0960-1627.2005.00220.x