Optimal dividend and investing control of a insurance company with higher solvency constraints

Details Optimal dividend and investing control of a insurance company with higher solvency constraints Optimal dividend and investing control of a insurance company with higher solvency constraints

2010-05-09

arxiv.org/abs/1005.1360v2

Economy

Quantitative Finance

Risk Management

31 pages

Scientific paper

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 process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at describing the optimal return function as well as the optimal policy. As a by-product, the paper theoretically sets a risk-based capital standard to ensure the capital requirement of can cover the total risk.

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