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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.

MSC:

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