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
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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
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Palabras clave: | Cramér-Lundberg process; Dividend payouts; Dynamic programming principle; Hamilton-Jacobi-Bellman equation; Insurance; Reinsurance; Risk control; Viscosity solution |
Año: | 2005
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Volumen: | 15
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Número: | 2
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Página de inicio: | 261
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Página de fin: | 308
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DOI: |
http://dx.doi.org/10.1111/j.0960-1627.2005.00220.x |
Título revista: | Mathematical Finance
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Título revista abreviado: | Math. Financ.
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ISSN: | 09601627
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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