# Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon

@article{Guan2020DynamicOR, 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}, year={2020} }

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…

## 3 Citations

### Optimal reinsurance under terminal value constraints

- Economics
- 2022

Optimal reinsurance is a perennial problem in insurance. The problem formulation considered in this paper is closely connected to the optimal portfolio problem in ﬁnance, with some important…

### Optimal reinsurance design under solvency constraints

- Economics
- 2022

We consider the optimal risk-sharing design between an insurance company and its reinsurer. The problem formulation considered in this paper is closely connected to the optimal portfolio problem in…

### Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory

- MathematicsScandinavian Actuarial Journal
- 2022

This paper investigates a Pareto-optimal insurance problem, where the insured maximizes her rank-dependent utility preference and the insurer is risk-neutral and employs the mean-variance premium…

## References

SHOWING 1-10 OF 44 REFERENCES

### Optimal Reinsurance and Dividend Strategies Under the Markov-Modulated Insurance Risk Model

- Mathematics
- 2010

In this article, we consider the optimal reinsurance and dividend strategy for an insurer. We model the surplus process of the insurer by the classical compound Poisson risk model modulated by an…

### Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle

- MathematicsEur. J. Oper. Res.
- 2020

### Optimal control of the insurance company with proportional reinsurance policy under solvency constraints

- Business, Economics
- 2008

### An Optimal Dividend Problem with Capital Injections over a Finite Horizon

- MathematicsSIAM J. Control. Optim.
- 2019

The optimal dividend problem with capital injections is related to an optimal stopping problem for a drifted Brownian motion that is absorbed at zero and it is shown that whenever the optimal stopping rule is triggered by a time-dependent boundary, the value function of the optimal stopped problem gives the derivative of the value functions of the ideal dividend problem.

### Continuous-Time Markowitz's Model with Transaction Costs

- EconomicsSIAM J. Financial Math.
- 2010

It is shown that there exists a critical length in time, which is dependent on the stock excess return as well as the transaction fees but independent of the investment target and the stock volatility, so that an expected terminal return may not be achievable if the planning horizon is shorter than that critical length.

### Optimal dynamic reinsurance policies for large insurance portfolios

- EconomicsFinance Stochastics
- 2003

Stochastic optimal control theory is used to determine the optimal reinsurance policy which minimizes the ruin probability of the cedent.

### Finite Horizon Optimal Investment and Consumption with Transaction Costs

- MathematicsSIAM J. Control. Optim.
- 2009

This paper concerns continuous-time optimal investment and the consumption decision of a constant relative risk aversion (CRRA) investor who faces proportional transaction costs and a finite time horizon and presents an analytical approach to analyze the behaviors of free boundaries.

### Optimal risk and dividend distribution control models for an insurance company

- BusinessMath. Methods Oper. Res.
- 2000

A short survey of stochastic models of risk control and dividend optimization techniques for a financial corporation shows that in most cases the optimal dividend distribution scheme is of a barrier type, while the risk control policy depends significantly on the nature of the reinsurance available.

### Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest

- Economics
- 2006

Abstract In the absence of investment and dividend payments, the surplus is modeled by a Brownian motion. But now assume that the surplus earns investment income at a constant rate of credit…