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A perturbation approach to optimal investment, liability ratio, and dividend strategies
Scandinavian Actuarial Journal ( IF 1.6 ) Pub Date : 2021-06-13 , DOI: 10.1080/03461238.2021.1938199
Zhuo Jin 1 , Zuo Quan Xu 2 , Bin Zou 3
Affiliation  

We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize her expected utility of dividend payments over an infinite horizon. By applying a perturbation approach, we obtain the optimal strategy and the value function in closed form for log and power utility. We conduct an economic analysis to investigate the impact of various model parameters and risk aversion on the insurer's optimal strategy.



中文翻译:

最优投资、负债率和股息策略的扰动方法

我们研究了同时控制金融市场投资权重、保险业务负债率和股息支付率的保险公司的最优股息问题。保险公司寻求一种最优策略,以在无限范围内最大化她对股息支付的预期效用。通过应用扰动方法,我们获得了对数和功率效用的最优策略和封闭形式的价值函数。我们进行了经济分析,以调查各种模型参数和风险规避对保险公司最优策略的影响。

更新日期:2021-06-13
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