scholarly journals Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs

2018 ◽  
Vol 14 (1) ◽  
pp. 371-395 ◽  
Author(s):  
Gongpin Cheng ◽  
◽  
Rongming Wang ◽  
Dingjun Yao ◽  
◽  
...  
Keyword(s):  
Transaction Costs ◽  
Injection Strategy ◽  
Capital Injection ◽  
Optimal Dividend

scholarly journals Optimal Dividend and Capital Injection Problem with Transaction Cost and Salvage Value: The Case of Excess-of-Loss Reinsurance Based on the Symmetry of Risk Information

Symmetry ◽  
2018 ◽  
Vol 10 (7) ◽  
pp. 276 ◽  
Author(s):  
Qingyou Yan ◽  
Le Yang ◽  
Tomas Baležentis ◽  
Dalia Streimikiene ◽  
Chao Qin
Keyword(s):  
Transaction Cost ◽  
Risk Information ◽  
Insurance Company ◽  
Optimal Control Strategy ◽  
Ruin Time ◽  
Discounted Cost ◽  
Capital Injection ◽  
Surplus Process ◽  
Optimal Dividend ◽  
A Company

This paper considers the optimal dividend and capital injection problem for an insurance company, which controls the risk exposure by both the excess-of-loss reinsurance and capital injection based on the symmetry of risk information. Besides the proportional transaction cost, we also incorporate the fixed transaction cost incurred by capital injection and the salvage value of a company at the ruin time in order to make the surplus process more realistic. The main goal is to maximize the expected sum of the discounted salvage value and the discounted cumulative dividends except for the discounted cost of capital injection until the ruin time. By considering whether there is capital injection in the surplus process, we construct two instances of suboptimal models and then solve for the corresponding solution in each model. Lastly, we consider the optimal control strategy for the general model without any restriction on the capital injection or the surplus process.

scholarly journals On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models

2018 ◽  
Vol 55 (4) ◽  
pp. 1272-1286 ◽  
Author(s):  
Kei Noba ◽  
José-Luis Pérez ◽  
Kazutoshi Yamazaki ◽  
Kouji Yano
Keyword(s):  
Arrival Time ◽  
Arrival Times ◽  
Classical Sense ◽  
Capital Injection ◽  
Dividend Payments ◽  
Poisson Arrival ◽  
Optimal Dividend ◽  
Injection Strategies

Abstract De Finetti’s optimal dividend problem has recently been extended to the case when dividend payments can be made only at Poisson arrival times. In this paper we consider the version with bail-outs where the surplus must be nonnegative uniformly in time. For a general spectrally negative Lévy model, we show the optimality of a Parisian-classical reflection strategy that pays the excess above a given barrier at each Poisson arrival time and also reflects from below at 0 in the classical sense.

scholarly journals REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL

2016 ◽  
Vol 47 (1) ◽  
pp. 199-238 ◽  
Author(s):  
José-Luis Pérez ◽  
Kazutoshi Yamazaki
Keyword(s):  
Additional Condition ◽  
Numerical Results ◽  
Dual Model ◽  
Maximal Rate ◽  
Absolutely Continuous ◽  
Capital Injection ◽  
Surplus Process ◽  
Optimal Dividend

AbstractWe study the dual model with capital injection under the additional condition that the dividend strategy is absolutely continuous. We consider a refraction–reflection strategy that pays dividends at the maximal rate whenever the surplus is above a certain threshold, while capital is injected so that it stays non-negative. The resulting controlled surplus process becomes the spectrally positive version of the refracted–reflected process recently studied by Pérez and Yamazaki (2015). We study various fluctuation identities of this process and prove the optimality of the refraction–reflection strategy. Numerical results on the optimal dividend problem are also given.

scholarly journals OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE

2016 ◽  
Vol 46 (2) ◽  
pp. 365-399 ◽  
Author(s):  
Dingjun Yao ◽  
Hailiang Yang ◽  
Rongming Wang
Keyword(s):  
Transaction Costs ◽  
Stochastic Control ◽  
Risk Model ◽  
Optimal Strategies ◽  
Proportional Reinsurance ◽  
Control Methods ◽  
Distribution Problem ◽  
Insurance Portfolio ◽  
Optimal Dividend ◽  
Dividend Distribution

AbstractThis study investigates a combined optimal financing, reinsurance and dividend distribution problem for a big insurance portfolio. A manager can control the surplus by buying proportional reinsurance, paying dividends and raising money dynamically. The transaction costs and liquidation values at bankruptcy are included in the risk model. Under the objective of maximising the insurance company's value, we identify the insurer's joint optimal strategies using stochastic control methods. The results reveal that managers should consider financing if and only if the terminal value and the transaction costs are not too high, less reinsurance is bought when the surplus increases or dividends are always distributed using the barrier strategy.

AN OPTIMAL DIVIDEND POLICY WITH DELAYED CAPITAL INJECTIONS

2013 ◽  
Vol 55 (2) ◽  
pp. 129-150 ◽  
Author(s):  
ZHUO JIN ◽  
GEORGE YIN
Keyword(s):  
Value Function ◽  
Closed Form Solution ◽  
Form Solution ◽  
Delay Period ◽  
Programming Approach ◽  
Dividend Payment ◽  
Capital Injection ◽  
Optimal Dividend ◽  
Capital Injections ◽  
The Value Function

AbstractThis work focuses on finding optimal dividend payment and capital injection policies to maximize the present value of the difference between the cumulative dividend payment and the possible capital injections with delays. Starting from the classical Cramér–Lundberg process, using the dynamic programming approach, the value function obeys a quasi-variational inequality. With delays in capital injections, the company will be exposed to the risk of financial ruin during the delay period. In addition, the optimal dividend payment and capital injection strategy should balance the expected cost of the possible capital injections and the time value of the delay period. In this paper, the closed-form solution of the value function and the corresponding optimal policies are obtained. Some limiting cases are also discussed. A numerical example is presented to illustrate properties of the solution. Some economic insights are also given.

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