DYNAMIC INSURANCE FIRM MODEL AND DIVIDEND OPTIMIZATION.

Research output: Contribution to journalArticlepeer-review

Abstract

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 languageEnglish (US)
Pages (from-to)19-33
Number of pages15
JournalLarge Scale Systems
Volume9
Issue number1
StatePublished - Aug 1985

ASJC Scopus subject areas

  • Engineering(all)

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