scholarly journals Optimal investment policy and dividend payment strategy in an insurance company

2010 ◽  
Vol 20 (4) ◽  
pp. 1253-1302 ◽  
Author(s):  
Pablo Azcue ◽  
Nora Muler
Keyword(s):  
Optimal Investment ◽  
Investment Policy ◽  
Insurance Company ◽  
Dividend Payment ◽  
Payment Strategy

scholarly journals Optimal Investment and Consumption for an Insurer with High-Watermark Performance Fee

2015 ◽  
Vol 2015 ◽  
pp. 1-14 ◽  
Author(s):  
Lin Xu ◽  
Hao Wang ◽  
Dingjun Yao
Keyword(s):  
Optimal Investment ◽  
Insurance Company ◽  
Asymptotic Results ◽  
Ruin Time ◽  
Dividend Payment ◽  
Consumption Behavior ◽  
Potential Applications ◽  
Discount Utility ◽  
Optimal Investment And Consumption ◽  
The Value Function

The optimal investment and consumption problem is investigated for an insurance company, which is subject to the payment of high-watermark fee from profit. The objective of insurance company is to maximize the expected cumulated discount utility up to ruin time. The consumption behavior considered in this paper can be viewed as dividend payment of the insurance company. It turns out that the value function of the proposed problem is the viscosity solution to the associated HJB equation. The regularity of the viscosity is discussed and some asymptotic results are provided. With the help of the smooth properties of viscosity solutions, we complete the verification theorem of the optimal control policies and the potential applications of the main result are discussed.

scholarly journals Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences

Mathematics ◽  
2021 ◽  
Vol 9 (14) ◽  
pp. 1610
Author(s):  
Katia Colaneri ◽  
Alessandra Cretarola ◽  
Benedetta Salterini
Keyword(s):  
Stock Prices ◽  
Regime Switching ◽  
Common Factor ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Market Model ◽  
Sensitivity Analyses ◽  
Model Parameters ◽  
Insurance Company ◽  
Optimal Investment Strategy

In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are dependent since stock prices and insurance claims vary according to a common factor given by a continuous time finite state Markov chain. We construct the value function and we prove that it is a forward dynamic utility. Then, we characterize the optimal investment strategy and the optimal proportional level of reinsurance. We also perform numerical experiments and provide sensitivity analyses with respect to some model parameters.

تقييم الأداء المالي لشركات التامين في دولة قطر باستخدام DUPONT SYSTEM

2021 ◽  
Vol 2020 (67) ◽  
pp. 29-50
Author(s):  
م. كفاح جبار حسن
Keyword(s):  
Optimal Investment ◽  
Profit Margin ◽  
Insurance Companies ◽  
Insurance Company ◽  
Financial Leverage ◽  
Return On Equity ◽  
Differentiation Strategy ◽  
Leadership Strategy ◽  
Utility Index ◽  
Cost Leadership Strategy

The study of the mutual relationship between return and risk is prepared by the DUPONT SYSTEM for a period of 10 years from 2008 to 2017 in Qatari insurance companies. Costs, which characterized the Qatar General Insurance Company by achieving the highest average profit margin of 99,699 and the AU Asset Utility Index, which measures the efficiency of management in using its assets to achieve its revenues, which characterized Doha Insurance Company as it achieved the highest asset benefit of 34,771 Financial leverage EM, or the so-called ownership multiplier index, which is the ratio that measures the risks related to the use of ownership money, which characterized Qatar Insurance Company, as it achieved the highest rate of raising money of 267,677. The aim of using DUPONT SYSTEM is to compare the performance of companies in the same industry as network analysis to predict future changes, thus adding another dimension to the evaluation of Qatari insurance companies for optimal investment based on sound performance evaluation. The results of the study showed that companies that follow the policy of cost leadership strategy may It achieved a lower return than that which followed the policy of differentiation strategy. The research hypotheses were tested using ANOVA, and the following was found: 1- The existence of statistically significant differences between Qatari companies operating in the insurance field due to the return on equity (ROE). 2- The existence of statistically significant differences between Qatari insurance companies due to the financial leverage index Equity On Multiplier (EM). 3- There are statistically significant differences between Qatari insurance companies attributable to the Return On Asset index (ROA). 4- There are statistically significant differences between Qatari insurance companies due to the Profit Margin (PM) indicator. To confirm the results, a Multiple Comparisons Tukey was performed

scholarly journals RUIN PROBABILITIES UNDER AN OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE POLICY IN A JUMP DIFFUSION RISK PROCESS

2009 ◽  
Vol 51 (1) ◽  
pp. 34-48 ◽  
Author(s):  
YIPING QIAN ◽  
XIANG LIN
Keyword(s):  
Ruin Probability ◽  
Market Price ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Risk Process ◽  
Closed Form Expression ◽  
Proportional Reinsurance ◽  
Insurance Company ◽  
Risky Assets ◽  
Price Of Risk

AbstractIn this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusion risk process. The insurance company can invest part of its surplus in n risky assets and purchase proportional reinsurance for claims. Our main goal is to find an optimal investment and proportional reinsurance policy which minimizes the ruin probability. We apply stochastic control theory to solve this problem. We obtain the closed form expression for the minimal ruin probability, optimal investment and proportional reinsurance policy. We find that the minimal ruin probability satisfies the Lundberg equality. We also investigate the effects of the diffusion volatility parameter, the market price of risk and the correlation coefficient on the minimal ruin probability, optimal investment and proportional reinsurance policy through numerical calculations.

A note on the optimal investment policy of the regulated firm

1976 ◽  
Vol 4 (3) ◽  
pp. 51-55 ◽  
Author(s):  
David W. Peterson ◽  
James H. Vander Weide
Keyword(s):  
Optimal Investment ◽  
Investment Policy ◽  
Regulated Firm
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