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

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.


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