Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon

  title={Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon},
  author={Chonghu Guan and Zuo Quan Xu and Rui Zhou},
  journal={Mathematics of Operations Research},
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or maturity, whichever comes earlier. The company is allowed to buy reinsurance contracts dynamically over the whole time horizon to cede its risk exposure with other reinsurance companies. This is a mixed singular–classical stochastic control problem, and the… 

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