Optimal risk and dividend distribution control models for an insurance company. (English) Zbl 0947.91043

Taksar, Michael I.

Math. Methods Oper. Res. 51, No. 1, 1-42 (2000).

This paper gives a short survey of stochastic models of risk control and dividend optimization techniques for a financial corporation. The objective in the models presented in this paper is the maximization of the dividend pay-outs. Models with different types of condition imposed upon a company and different types of reinsurance available, such as proportional, noncheap, proportional in a presence of a constant debt liability, excess-of-loss, are discussed. It is shown that in the most cases the optimal divident distribution scheme is a barrier type, while the risk control policy depends significantly on the nature of the reinsurance available.

Reviewer: Klaus Ehemann (Hamburg)

MSC:

91B28	Finance etc. (MSC2000)
91B30	Risk theory, insurance (MSC2010)
93E99	Stochastic systems and control
60G99	Stochastic processes

Keywords:

stochastic control; stochastic differential equations; reinsurance; Hamilton-Jacobi-Bellman equation; ruin problem; short survey