Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4664622 | Acta Mathematica Scientia | 2011 | 14 Pages |
Abstract
This paper considers a model of an insurance company which is allowed to invest a risky asset and to purchase proportional reinsurance. The objective is to find the policy which maximizes the expected total discounted dividend pay-out until the time of bankruptcy and the terminal value of the company under liquidity constraint. We find the solution of this problem via solving the problem with zero terminal value. We also analyze the influence of terminal value on the optimal policy.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)