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DOI: 10.5445/IR/1000088211
Veröffentlicht am 05.12.2018
DOI: 10.3390/risks6030073
Zitationen: 1

Company value with ruin constraint in lundberg models

Hipp, C.

In this note we study the problem of company values with a ruin constraint in classical continuous time Lundberg models. For this, we adapt the methods and results for discrete de Finetti models to time and state continuous Lundberg models. The policy improvement method works also in continuous models, but it is slow and needs discretization. Better results can be obtained faster using the barrier method for discrete models which can be adjusted for Lundberg models. In this method, dividend strategies are considered which are based on barrier sequences. In our continuous state model, optimal barriers can be computed with the Lagrange method leading to a backward recursion scheme. The resulting dividend strategies will not always be optimal: in the case without ruin constraint, there are examples in which band strategies are superior. We also develop equations for optimal control of dynamic reinsurance to maximize the company value under a ruin constraint. These identify the optimal reinsurance strategy in no action regions and allow for an interactive computation of the value function. We apply the methods in a numerical example wit ... mehr

Zugehörige Institution(en) am KIT Institut für Finanzwirtschaft, Banken und Versicherungen (FBV)
Publikationstyp Zeitschriftenaufsatz
Jahr 2018
Sprache Englisch
Identifikator ISSN: 2227-9091
URN: urn:nbn:de:swb:90-882118
KITopen ID: 1000088211
Erschienen in Risks
Band 6
Heft 3
Seiten Art. Nr.: 73
Schlagworte stochastic control, optimal dividend payment, ruin probability constraint, Lundberg models
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