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首页> 外文期刊>Journal of industrial and management optimization >OPTIMAL RISK CONTROL AND DIVIDEND STRATEGIES IN THE PRESENCE OF TWO REINSURERS: VARIANCE PREMIUM PRINCIPLE
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OPTIMAL RISK CONTROL AND DIVIDEND STRATEGIES IN THE PRESENCE OF TWO REINSURERS: VARIANCE PREMIUM PRINCIPLE

机译：存在两个再保险人的最优风险控制和股息策略：方差溢价原则

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摘要

This paper assumes that an insurer can control the dividend, refinancing and reinsurance strategies dynamically. Particularly, the reinsurance is provided by two reinsurers and the variance premium principle is applied in pricing insurance contracts. Using the optimal control method, we identify the optimal strategies for maximizing the insurance company's value. Meanwhile, the effects of transaction costs and terminal value at bankruptcy are investigated. The results turn out that the insurer should consider refinancing when and only when the transaction costs and terminal value are relatively low. Also, it should buy less reinsurance when the surplus increases, while the proportion of risk allocation between two reinsurers remains constant. When the dividend rate is unbounded, dividends should be paid according to the barrier strategy. When the dividend rate is restricted, dividends should be distributed according to the threshold strategy. Some examples are provided to illustrate the implementation of our results.
机译：本文假设保险公司可以动态控制股利，再融资和再保险策略。特别是，再保险由两个再保险人提供，差异保费原则适用于定价保险合同。使用最优控制方法，我们确定了最大化保险公司价值的最优策略。同时，研究了交易成本和破产终值的影响。结果表明，保险公司应仅在交易成本和最终价值相对较低时才考虑进行再融资。另外，当盈余增加时，它应该购买较少的再保险，而两个再保险公司之间的风险分配比例保持不变。当股息率不受限制时，应根据障碍策略来支付股息。当限制股息率时，应根据阈值策略分配股息。提供了一些示例来说明我们的结果的实现。

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