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

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  • Zongxia Liang
  • Jianping Huang

Abstract

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.

Suggested Citation

  • Zongxia Liang & Jianping Huang, 2010. "Optimal dividend and investing control of a insurance company with higher solvency constraints," Papers 1005.1360, arXiv.org, revised May 2010.
    • Handle: RePEc:arx:papers:1005.1360
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    File URL: http://arxiv.org/pdf/1005.1360
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