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• W3048609837 abstract "In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company taking into account the time value of ruin. We assume the preference of the insurer is of the CRRA form. The discounting factor is modeled as a geometric Brownian motion. We introduce the VaR control levels for the insurer to control its loss in reinsurance strategies. By solving the corresponding Hamilton-Jacobi-Bellman equation, we obtain the value function and the corresponding optimal strategy. Finally, we provide some numerical examples to illustrate the results and analyze the VaR control levels on the optimal strategy." @default.
• W3048609837 created "2020-08-18" @default.
• W3048609837 creator A5029131256 @default.
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• W3048609837 date "2020-08-11" @default.
• W3048609837 modified "2023-10-10" @default.
• W3048609837 title "Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate" @default.
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• W3048609837 doi "https://doi.org/10.1155/2020/4051969" @default.
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