On optimal reinsurance, dividend and reinvestment strategies

We investigate an optimal reinsurance and dividend problem of an insurance company with the presence of reinvestments, or retained earnings. We consider the general situation that the company needs to pay both fixed and proportional costs. The object of the company is to determine reinsurance, divid...

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Veröffentlicht in:	Economic modelling 2011, Vol.28 (1), p.211-218
Hauptverfasser:	Meng, Hui, Siu, Tak Kuen
Format:	Artikel
Sprache:	eng
Schlagworte:	Control theory Dividend Dividends Economic models Excess-of-loss Financial engineering Impulse control Inventory control Investment planning Investment policy Optimization Reinsurance Reinvestment Reinvestment Reinsurance Dividend Excess-of-loss Impulse control Transaction costs Stock returns Studies Transaction costs
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