Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93859
Title: | A perturbation approach to optimal investment, liability ratio, and dividend strategies | Authors: | Jin, Z Xu, ZQ Zou, B |
Issue Date: | 2022 | Source: | Scandinavian actuarial journal, 2022, v. 2022, no. 2, p. 165-188 | Abstract: | We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize her expected utility of dividend payments over an infinite horizon. By applying a perturbation approach, we obtain the optimal strategy and the value function in closed form for log and power utility. We conduct an economic analysis to investigate the impact of various model parameters and risk aversion on the insurer's optimal strategy. | Keywords: | Jump diffusion Optimal dividend Reinsurance Stochastic control |
Publisher: | Taylor & Francis Scandinavia | Journal: | Scandinavian actuarial journal | ISSN: | 0346-1238 | EISSN: | 1651-2030 | DOI: | 10.1080/03461238.2021.1938199 | Rights: | © 2021 Informa UK Limited, trading as Taylor & Francis Group This is an Accepted Manuscript of an article published by Taylor & Francis in Scandinavian Actuarial Journal on 13 Jun 2021 (published online), available at: http://www.tandfonline.com/10.1080/03461238.2021.1938199 |
Appears in Collections: | Journal/Magazine Article |
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File | Description | Size | Format | |
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Xu_Perturbation_Approach_Optimal.pdf | Pre-Published version | 607.4 kB | Adobe PDF | View/Open |
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