The purpose of this paper is twofold. First, to formulate a dynamical model of a stock insurance firm and, second, to solve the insurance firm problem (in terms of its loading factor, investment-disinvestment and dividend policies), granted that its objective is (discounted) dividend maximization. The mathematical problem defined is a two-states stochastic control problem which is solved and interpreted to yield insights regarding the management of insurance firms.
|Original language||English (US)|
|Number of pages||15|
|Journal||Large Scale Systems|
|State||Published - Aug 1985|
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