Journal article

A perturbation approach to optimal investment, liability ratio, and dividend strategies

Zhuo Jin, Zuo Quan Xu, Bin Zou

SCANDINAVIAN ACTUARIAL JOURNAL | TAYLOR & FRANCIS LTD | Published : 2021

Abstract

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.

University of Melbourne Researchers

Grants

Awarded by General Research Fund of the Hong Kong Special Administrative Region


Awarded by National Natural Science Foundation of China


Funding Acknowledgements

Zhuo Jin is partially supported by the General Research Fund of the Hong Kong Special Administrative Region (No. 17330816). ZuoQuan Xu is partially supported by by the National Natural Science Foundation of China (No. 11971409) and the General Research Fund of the Hong Kong Special Administrative Region (No. 15204216 and 15202817). Bin Zou is partially supported by a start-up grant from the University of Connecticut.