Optimal debt ratio and dividend payment strategies with reinsurance
نویسندگان
چکیده
منابع مشابه
Optimal Debt Ratio and Dividend Payment Strategies with Reinsurance
This paper derives the optimal debt ratio and dividend payment strategies for an insurance company. Taking into account the impact of reinsurance policies and claims from the credit derivatives, the surplus process is stochastic that is jointly determined by the reinsurance strategies, debt levels, and unanticipated shocks. The objective is to maximize the total expected discounted utility of d...
متن کاملInsurance, Reinsurance and Dividend Payment
The aim of this paper is to introduce an insurance model allowing reinsurance and dividend payment. Our model deals with several homogeneous contracts and takes into account the legislation regarding the provisions to be justified by the insurance companies. This translates into some restriction on the (maximal) number of contracts the company is allowed to cover. We deal with a controlled jump...
متن کاملOptimal Reinsurance and Dividend Strategies with Capital Injections in Cramér-Lundberg Approximation Model
In this paper, we consider a diffusion approximation to a classical risk process with the possibility of quota-share and excess-of-loss reinsurance, while in addition the company controls the amount of dividends paid out to the shareholders as well as the capital injections. The objective is to maximize the cumulative expected discounted dividends minus the penalized discounted capital injectio...
متن کاملDebt Valuation, Renegotiation, and Optimal Dividend Policy
The valuation of debt and equity, reorganization boundaries, and firm’s optimal dividend policies are studied in a framework where we model strategic interactions between debt holders and equity holders in a game-theoretic setting which can accommodate varying bargaining powers to the two claimants. Two formulations of reorganization are presented: debt-equity swaps and strategic debt service r...
متن کاملApproximation of Optimal Reinsurance and Dividend Pay-out Policies
We consider the stochastic process of the liquid assets of an insurance company assuming that the management can control this process in two ways: first, the risk exposure can be reduced by affecting reinsurance, but this decreases the premium income. Second, a dividend has to be paid out to the shareholders. The aim is to maximize the expected discounted dividend pay-out until the time of bank...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2015
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2015.07.005