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Optimal dividend and risk control strategies for an insurer when there are multiple reinsurers with different risk attitudes

Author

Listed:
  • Yao, Dingjun
  • Zhou, Hua
  • Cheng, Gongpin

Abstract

Suppose that insurer can control dividend, refinancing and reinsurance strategies dynamically. Different from the past, there are multiple reinsurers rather than sole reinsurer in the market. The insurer aim at finding the optimal strategies for maximizing the company’s value. It illustrates that refinancing can be considered iff the company has strong profitability; It should reduce reinsurance purchase when the surplus increases. The amount of risk ceded to the reinsurer depends on its risk attitude. The optimal dividend policy is of barrier type when the dividend rate is unbounded and is of threshold type when the dividend rate is bounded.

Suggested Citation

  • Yao, Dingjun & Zhou, Hua & Cheng, Gongpin, 2024. "Optimal dividend and risk control strategies for an insurer when there are multiple reinsurers with different risk attitudes," Finance Research Letters, Elsevier, vol. 69(PA).
    • Handle: RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010407
    DOI: 10.1016/j.frl.2024.106010
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