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
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.
Awarded by General Research Fund of the Hong Kong Special Administrative Region
Awarded by National Natural Science Foundation of China
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.