Optimal combined dividend and reinsurance policies under interest rate in Lévy markets
by Sivuyile W. Mgobhozi; Eriyoti Chikodza
International Journal of Mathematics in Operational Research (IJMOR), Vol. 10, No. 1, 2017

Abstract: A combined dividend and risk control problem is presented and investigated in this paper. The risk of the insurance firm is controlled by using a proportional reinsurance policy. It is considered that the evolution of the cash reserves of the firm is driven by a generalised Itô-Lévy process. The surplus cash reserves earn interest at a constant rate. The objective of the firm is to maximise the total expected discounted dividends paid out to share holders. The situation is modelled as an impulse-classical control problem. We manage to construct the value function and the optimal impulse control. The existence and uniqueness of an optimal classical control is proved.

Online publication date: Mon, 07-Nov-2016

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