Optimal proportional reinsurance and dividend payments with transaction costs and internal competition

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• 作者：Wei Liu ; Yi-jun Hu
• 关键词：Dividend ; proportional reinsurance ; transaction costs ; internal competition ; quasi ; variational inequality
• 刊名：Applied Mathematics - A Journal of Chinese Universities
• 出版年：2016
• 出版时间：March 2016
• 年：2016
• 卷：31
• 期：1
• 页码：89-102
• 全文大小：315 KB
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• 作者单位：Wei Liu (1)
  Yi-jun Hu (2)
  
  1. School of Mathematics and System Sciences, Xinjiang University, Urumqi, 830046, China
  2. School of Mathematics and Statistics, Wuhan University, Wuhan, 430072, China
  
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics
  Mathematics
  Applications of Mathematics
  Chinese Library of Science
  
• 出版者：Editorial Committee of Applied Mathematics - A Journal of Chinese Universities
• ISSN：1993-0445

文摘

We study the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside company and transaction costs when dividends occur. The management of the company controls the reinsurance rate, the timing and the amount of dividends paid out to maximize the expected total dividends paid out to the shareholders until ruin time. By solving the corresponding quasi-variational inequality, we obtain the optimal return function and the optimal strategy.