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Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk
Optimal dividend reinsurance strategy Optimal
2010/10/21
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The cata...
Optimal dividend and investing control of a insurance company with higher solvency constraints
Optimal dividend policy Optimal return function Solvency
2010/10/20
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing pro...