Insurance, Reinsurance and Dividend Payment

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dc.creatorGoreac, D.
dc.date2008-04-24
dc.date.accessioned2026-07-07T12:10:31Z
dc.date.available2026-07-07T12:10:31Z
dc.descriptionThe 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 process in which one has free choice of retention level and dividend amount. The value function is given as the maximized expected discounted dividends. We prove that this value function is a viscosity solution of some first-order Hamilton-Jacobi-Bellman variational inequality. Moreover, a uniqueness result is provided.
dc.description26 pages, submitted
dc.identifierhttps://arxiv.org/abs/0804.3900
dc.identifierhttp://arxiv.org/abs/0804.3900
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209957
dc.subjectPricing of Securities
dc.subjectOptimization and Control
dc.subjectProbability
dc.subject49L20, 60H30
dc.titleInsurance, Reinsurance and Dividend Payment
dc.typetext

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