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Optimal investment and consumption for an insurer with high-watermark performance fee. (English) Zbl 1394.91237
Summary: 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.

MSC:
91B30 Risk theory, insurance (MSC2010)
91G10 Portfolio theory
93E20 Optimal stochastic control
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