Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate

Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate

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...

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Main Authors: Yuzhen Wen, Chuancun Yin
Format: Article
Language:English
Published: Hindawi Limited 2020-01-01
Series:Journal of Function Spaces
Online Access:http://dx.doi.org/10.1155/2020/4051969
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spelling doaj-4e503303ee54412c818a670caf8c81412020-11-25T03:01:41ZengHindawi LimitedJournal of Function Spaces2314-88962314-88882020-01-01202010.1155/2020/40519694051969Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest RateYuzhen Wen0Chuancun Yin1School of Statistics, Qufu Normal University, Jining Shandong 273165, ChinaSchool of Statistics, Qufu Normal University, Jining Shandong 273165, ChinaIn 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.http://dx.doi.org/10.1155/2020/4051969
collection DOAJ
language English
format Article
sources DOAJ
author Yuzhen Wen
Chuancun Yin
spellingShingle Yuzhen Wen
Chuancun Yin
Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate
Journal of Function Spaces
author_facet Yuzhen Wen
Chuancun Yin
author_sort Yuzhen Wen
title Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate
title_short Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate
title_full Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate
title_fullStr Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate
title_full_unstemmed Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate
title_sort optimal expected utility of dividend payments with proportional reinsurance under var constraints and stochastic interest rate
publisher Hindawi Limited
series Journal of Function Spaces
issn 2314-8896
2314-8888
publishDate 2020-01-01
description 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.
url http://dx.doi.org/10.1155/2020/4051969
work_keys_str_mv AT yuzhenwen optimalexpectedutilityofdividendpaymentswithproportionalreinsuranceundervarconstraintsandstochasticinterestrate
AT chuancunyin optimalexpectedutilityofdividendpaymentswithproportionalreinsuranceundervarconstraintsandstochasticinterestrate
_version_ 1715324488530264064

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