Optimal reinsurance and dividend distribution policies in the cramér-lundberg model
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 cum...
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2005
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| LEADER | 06653caa a22006857a 4500 | ||
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| 001 | PAPER-22138 | ||
| 003 | AR-BaUEN | ||
| 005 | 20230518205340.0 | ||
| 008 | 190411s2005 xx ||||fo|||| 00| 0 eng|d | ||
| 024 | 7 | |2 scopus |a 2-s2.0-17444414628 | |
| 040 | |a Scopus |b spa |c AR-BaUEN |d AR-BaUEN | ||
| 100 | 1 | |a Azcue, P. | |
| 245 | 1 | 0 | |a Optimal reinsurance and dividend distribution policies in the cramér-lundberg model |
| 260 | |c 2005 | ||
| 270 | 1 | 0 | |m Azcue, P.; Depto. de Matematicas y Estadistica, Universidad Torcuato Di Tella, Minones 2159/77, (1428) Buenos Aires, Argentina; email: pazcue@utdt.edu |
| 506 | |2 openaire |e Política editorial | ||
| 504 | |a Asmussen, S., Højgaard, B., Taksar, M., Optimal risk control and dividend distribution policies: Example of excess-of-loss reinsurance for an insurance corporation (2000) Finance Stochast., 4 (3), pp. 299-324 | ||
| 504 | |a Asmussen, S., Taksar, M., Controlled diffusion models for optimal dividend pay-out (1997) Insurance: Math. & Econ., 20, pp. 1-15 | ||
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| 504 | |a Choulli, T., Taksar, M., Zhou, X.Y., Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction (2001) Quant. Finance, 1, pp. 573-596 | ||
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| 504 | |a Højgaard, B., Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs (2002) Scand. Actuarial J., 4, pp. 225-245 | ||
| 504 | |a Højgaard, B., Taksar, M., Controlling risk exposure and dividends payout schemes: Insurance company example (1999) Math. Finance, 9 (2), pp. 153-182 | ||
| 504 | |a Lions, P.L., Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations. II. Viscosity solutions and uniqueness (1983) Comm. Partial Diff. Eqs., 8 (11), pp. 1229-1276 | ||
| 504 | |a Mnif, M., Sulem, A., Optimal risk control under excess of loss reinsurance (2001) Raport de Recherche No. 4317, 4317. , INRIA Rocquencourt | ||
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| 520 | 3 | |a 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. |l eng | |
| 593 | |a Universidad Torcuato Di Tella, Argentina | ||
| 593 | |a Depto. de Matematicas y Estadistica, Universidad Torcuato Di Tella, Minones 2159/77, (1428) Buenos Aires, Argentina | ||
| 690 | 1 | 0 | |a CRAMER-LUNDBERG PROCESS |
| 690 | 1 | 0 | |a DIVIDEND PAYOUTS |
| 690 | 1 | 0 | |a DYNAMIC PROGRAMMING PRINCIPLE |
| 690 | 1 | 0 | |a HAMILTON-JACOBI-BELLMAN EQUATION |
| 690 | 1 | 0 | |a INSURANCE |
| 690 | 1 | 0 | |a REINSURANCE |
| 690 | 1 | 0 | |a RISK CONTROL |
| 690 | 1 | 0 | |a VISCOSITY SOLUTION |
| 700 | 1 | |a Muler, N. | |
| 773 | 0 | |d 2005 |g v. 15 |h pp. 261-308 |k n. 2 |p Math. Financ. |x 09601627 |t Mathematical Finance | |
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| 856 | 4 | 0 | |u https://doi.org/10.1111/j.0960-1627.2005.00220.x |y DOI |
| 856 | 4 | 0 | |u https://hdl.handle.net/20.500.12110/paper_09601627_v15_n2_p261_Azcue |y Handle |
| 856 | 4 | 0 | |u https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09601627_v15_n2_p261_Azcue |y Registro en la Biblioteca Digital |
| 961 | |a paper_09601627_v15_n2_p261_Azcue |b paper |c PE | ||
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