An Optimal Periodic Dividend and Risk Control Problem for an Insurance Company
Optimization and Control
2025-02-19 v2
Abstract
We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk control is continuously managed through proportional reinsurance. Our analysis confirms the optimality of a periodic-classical barrier strategy for maximizing the expected net present value until the first instance of bankruptcy across all admissible periodic-classical strategies.
Keywords
Cite
@article{arxiv.2312.17131,
title = {An Optimal Periodic Dividend and Risk Control Problem for an Insurance Company},
author = {Mark Kelbert and Harold A. Moreno-Franco},
journal= {arXiv preprint arXiv:2312.17131},
year = {2025}
}