Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076807 | Insurance: Mathematics and Economics | 2012 | 9 Pages |
Abstract
⺠We find the optimal dividend strategy in a diffusion risk model under a penalty for ruin; not surprisingly, the optimal dividend strategy is a barrier strategy. ⺠We determine the optimal proportional reinsurance strategy, when so-called expensive reinsurance is available; that is, the premium loading on reinsurance is greater than the loading on the directly written insurance. ⺠We investigate the effect of penalty P on the optimal strategies. In particular, we show that the optimal barrier increases with respect to P, while the optimal proportion retained decreases with respect to P. ⺠We explore the time of ruin, and find that the expected time of ruin increases with respect to P under a net profit condition.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zhibin Liang, Virginia R. Young,