Optimal debt ratio and dividend strategies for an insurer under a regime-switching model
Qian Zhao, Zhuo Jin, Jiaqin Wei
Stochastic Models | INFORMS | Published : 2018
This paper studies the optimal debt ratio and dividend strategy for an insurer under the model with the coefficients depending on the state of the economy. The object is to maximize the total expected discounted utility of dividend payment of the insurer. The optimal strategy and value function are characterized by the classical solution of the associated Hamilton–Jacobi–Bellman equation which can be reduced to a system of nonlinear PDEs. Considering logarithmic and power utility, we show the existence of classical solution to the system by the ordered upper-lower solution method, and verify that the solution is indeed the value function.
Awarded by National Natural Science Foundation of China
Awarded by 111 Project
Awarded by Program of Shanghai Subject Chief Scientist
Awarded by Research Grants Council of the Hong Kong Special Administrative Region
This work was supported by the National Natural Science Foundation of China (11771466, 11601157, 11601320, 11571113, 11231005, 11501211), the 111 Project (B14019), the Program of Shanghai Subject Chief Scientist (14XD1401600) and the Research Grants Council of the Hong Kong Special Administrative Region (HKU 705313P).