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An Optimal Periodic Dividend and Risk Control Problem for an Insurance Company (2312.17131v2)

Published 28 Dec 2023 in math.OC

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.

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