Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93859
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Jin, Z | en_US |
dc.creator | Xu, ZQ | en_US |
dc.creator | Zou, B | en_US |
dc.date.accessioned | 2022-08-03T01:23:58Z | - |
dc.date.available | 2022-08-03T01:23:58Z | - |
dc.identifier.issn | 0346-1238 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/93859 | - |
dc.language.iso | en | en_US |
dc.publisher | Taylor & Francis Scandinavia | en_US |
dc.rights | © 2021 Informa UK Limited, trading as Taylor & Francis Group | en_US |
dc.rights | 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 | en_US |
dc.subject | Jump diffusion | en_US |
dc.subject | Optimal dividend | en_US |
dc.subject | Reinsurance | en_US |
dc.subject | Stochastic control | en_US |
dc.title | A perturbation approach to optimal investment, liability ratio, and dividend strategies | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 165 | en_US |
dc.identifier.epage | 188 | en_US |
dc.identifier.volume | 2022 | en_US |
dc.identifier.issue | 2 | en_US |
dc.identifier.doi | 10.1080/03461238.2021.1938199 | en_US |
dcterms.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. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Scandinavian actuarial journal, 2022, v. 2022, no. 2, p. 165-188 | en_US |
dcterms.isPartOf | Scandinavian actuarial journal | en_US |
dcterms.issued | 2022 | - |
dc.identifier.scopus | 2-s2.0-85107726249 | - |
dc.identifier.eissn | 1651-2030 | en_US |
dc.description.validate | 202208 bcfc | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | AMA-0037 | - |
dc.identifier.SubFormID | 46589 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.fundingSource | Others | en_US |
dc.description.fundingText | NSFC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 52871590 | - |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Xu_Perturbation_Approach_Optimal.pdf | Pre-Published version | 607.4 kB | Adobe PDF | View/Open |
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