We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by reinsurance. The management of the company controls the reinsurance rate and dividend payments process to maximize the expected present value of the dividend...

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...

We present a decision theoretic framework in which agents are learning about market behavior and that provides microfoundations for models of adaptive learning. Agents are ‘internally rational’, i.e., maximize discounted expected utility under uncertainty given consistent subjective beliefs about the future, but agents may not be ‘externally rational’, i.e., may not know the true stochastic pro...

Purpose This study aims to investigate whether there is any influence of the option plan purchase shares protected from dividends determine distribution in Brazilian companies. Design/methodology/approach The authors used a Tobit dynamic and regressive regression model because their sample has an index higher than 30% companies that do not pay dividends. includes or executives with executive st...

The Russian stock market is one of the leaders in terms dividend yield among developed and developing countries. Against this background, it appropriate to study determinants that affect decisions on implementation payments their amount. literature topic emerging markets general specifically Russia has anumber gaps contradictions determine scientific novelty work – analysis regard impact probab...

We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer’s minimal capital requirement, dividend paying situations, and external financial activities. We focus on the development of a recursive computational procedure to calculate the finite-time ruin probabilities and expected total discounted dividends paid prior t...

Two experiments were conducted to investigate how individuals evaluate future outcomes. Normative decision models postulate that the value of future outcomes should be discounted as a function of time. The present research obtained discounted values for single outcomes in the future but did not obtain discounted values for outcomes presented in series. In Experiment 1, students evaluated (a) co...

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...

In this paper, we study the discounted free Gerber-Shiu function for the compound binomial risk model with by-claims and randomized dividend policy. Specifically, explicit expression for the discounted free Gerber-Shiu function is obtained. This result allows us to derive formulae for some useful insurance quantities, including the ruin probability, the probability function of the deficit at ru...