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Optimal dividend and risk control strategies for an insurer when there are multiple reinsurers with different risk attitudes
Finance Research Letters ( IF 7.4 ) Pub Date : 2024-08-28 , DOI: 10.1016/j.frl.2024.106010 Dingjun Yao , Hua Zhou , Gongpin Cheng
Finance Research Letters ( IF 7.4 ) Pub Date : 2024-08-28 , DOI: 10.1016/j.frl.2024.106010 Dingjun Yao , Hua Zhou , Gongpin Cheng
Suppose that insurer can control dividend, refinancing and reinsurance strategies dynamically. Different from the past, there are multiple reinsurers rather than sole reinsurer in the market. The insurer aim at finding the optimal strategies for maximizing the company’s value. It illustrates that refinancing can be considered iff the company has strong profitability; It should reduce reinsurance purchase when the surplus increases. The amount of risk ceded to the reinsurer depends on its risk attitude. The optimal dividend policy is of barrier type when the dividend rate is unbounded and is of threshold type when the dividend rate is bounded.
中文翻译:
当有多个风险态度不同的再保险公司时,保险公司的最佳股息和风险控制策略
假设保险公司可以动态控制股息、再融资和再保险策略。与过去不同的是,市场上有多家再保险公司,而不是唯一的再保险公司。保险公司旨在寻找最大化公司价值的最佳策略。它表明,如果公司具有强大的盈利能力,则可以考虑再融资;当盈余增加时,它应该会减少再保险购买。分渡给再保险公司的风险量取决于其风险承受能力。当股息率不受限制时,最佳被扣策略为障碍型,当股息率有界时,最佳被扣押策略为阈值型。
更新日期:2024-08-28
中文翻译:
当有多个风险态度不同的再保险公司时,保险公司的最佳股息和风险控制策略
假设保险公司可以动态控制股息、再融资和再保险策略。与过去不同的是,市场上有多家再保险公司,而不是唯一的再保险公司。保险公司旨在寻找最大化公司价值的最佳策略。它表明,如果公司具有强大的盈利能力,则可以考虑再融资;当盈余增加时,它应该会减少再保险购买。分渡给再保险公司的风险量取决于其风险承受能力。当股息率不受限制时,最佳被扣策略为障碍型,当股息率有界时,最佳被扣押策略为阈值型。