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

نویسندگان

چکیده

We study an optimal dividend problem for insurer who simultaneously controls investment weights in a financial market, liability ratio the insurance business, and payout rate. The seeks strategy to maximize her expected utility of payments over infinite horizon. By applying perturbation approach, we obtain value function closed form log power utility. conduct economic analysis investigate impact various model parameters risk aversion on insurer's strategy.

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ژورنال

عنوان ژورنال: Scandinavian Actuarial Journal

سال: 2021

ISSN: ['1651-2030', '0346-1238']

DOI: https://doi.org/10.1080/03461238.2021.1938199