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Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching
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Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching
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Journal Article
Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching
2010
Overview
We consider the optimal proportional reinsurance and dividend strategy. The surplus process is modeled by the classical compound Poisson risk model with regime switching. Considering a class of utility functions, the object of the insurer is to select the reinsurance and dividend strategy that maximizes the expected total discounted utility of the shareholders until ruin. By adapting the techniques and methods of stochastic control, we study the quasi-variational inequality for this classical and impulse control problem and establish a verification theorem. We show that the optimal value function is characterized as the unique viscosity solution of the corresponding quasi-variational inequality.
Publisher
Springer US,Springer
Subject
/ Calculus of variations and optimal control
/ Calculus of Variations and Optimal Control; Optimization
/ Decision theory. Utility theory
/ Exact sciences and technology
/ Operational research and scientific management
/ Operational research. Management science
/ Operations Research/Decision Theory
/ Risk theory. Actuarial science
