In this paper we develop a framework for optimal investment decisions for insurance companies under un-hedgeable risk. The perspective that we choose is from an insurance company that tries to maximise the stream of dividends paid to its shareholders. The policy instruments that the company has are the dividend policy and the investment policy. The insurance company can continue to pay dividends until bankruptcy, and hence the time of bankruptcy is also endogenously controlled by the dividend and investment policies. Using stochastic control theory, we derive simultaneously the optimal investment policy and the optimal dividend policy, taking the insurance risks to be given
© 2021 Jiannan Zhanghis thesis studies several optimal investment problems in a dynamic environment ...
We investigate a model of a corporation which faces constant liability payments and which can choos...
We consider a problem of optimal reinsurance and investment for an insurance company whose surplus i...
In this paper we develop a framework for optimal investment decisions for insurance companies under ...
In this paper we develop a framework for optimal investment decisions for insurance companies under ...
In this paper we develop a framework for optimal investment decisions for insurance companies in the...
In this paper we develop a framework for optimal investment decisions for insurance companies in the...
In this paper we develop a framework for optimal investment decisions for insurance companies in the...
In this paper we develop a framework for optimal investment decisions for insurance companies in the...
In this paper we develop a framework for optimal investment decisions for insurance companies in the...
This paper considers optimal control problem of a large insurance company under a fixed insolvency p...
In this paper we develop a framework for optimal investment decisions for insurance companies under ...
This paper investigates dividend optimization of an insurance corporation under a more realistic mod...
Limited liability creates a conflict of interests between policyholders and shareholders of insuranc...
Abstract. In this paper we consider the optimal dividend problem for an insurance company whose risk...
© 2021 Jiannan Zhanghis thesis studies several optimal investment problems in a dynamic environment ...
We investigate a model of a corporation which faces constant liability payments and which can choos...
We consider a problem of optimal reinsurance and investment for an insurance company whose surplus i...
In this paper we develop a framework for optimal investment decisions for insurance companies under ...
In this paper we develop a framework for optimal investment decisions for insurance companies under ...
In this paper we develop a framework for optimal investment decisions for insurance companies in the...
In this paper we develop a framework for optimal investment decisions for insurance companies in the...
In this paper we develop a framework for optimal investment decisions for insurance companies in the...
In this paper we develop a framework for optimal investment decisions for insurance companies in the...
In this paper we develop a framework for optimal investment decisions for insurance companies in the...
This paper considers optimal control problem of a large insurance company under a fixed insolvency p...
In this paper we develop a framework for optimal investment decisions for insurance companies under ...
This paper investigates dividend optimization of an insurance corporation under a more realistic mod...
Limited liability creates a conflict of interests between policyholders and shareholders of insuranc...
Abstract. In this paper we consider the optimal dividend problem for an insurance company whose risk...
© 2021 Jiannan Zhanghis thesis studies several optimal investment problems in a dynamic environment ...
We investigate a model of a corporation which faces constant liability payments and which can choos...
We consider a problem of optimal reinsurance and investment for an insurance company whose surplus i...