Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate. (11th August 2020)

• Record Type: Journal Article
• Authors: Wen, Yuzhen; Yin, Chuancun
• Other Names: Chen Chuanjun Guest Editor.
• Is Part Of: Journal of function spaces. Volume 2020(2020)
• Publication Date: 2020-08-11
• Subjects: Function spaces -- Periodicals; 515.7305
• DOI: 10.1155/2020/4051969
• Languages: English
• ISSNs: 2314-8896

Abstract

Abstract : In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company taking into account the time value of ruin. We assume the preference of the insurer is of the CRRA form. The discounting factor is modeled as a geometric Brownian motion. We introduce the VaR control levels for the insurer to control its loss in reinsurance strategies. By solving the corresponding Hamilton-Jacobi-Bellman equation, we obtain the value function and the corresponding optimal strategy. Finally, we provide some numerical examples to illustrate the results and analyze the VaR control levels on the optimal strategy.