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Indexed by:期刊论文

Date of Publication:2018-04-01

Journal:JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION

Included Journals:SCIE、SSCI

Volume:14

Issue:2

Page Number:653-671

ISSN No.:1547-5816

Key Words:Optimal investment; dividend; insurance claim process; maximum principle; regular-singular stochastic control; partial information

Abstract:We study an optimal investment and dividend problem of an insurer, where the aggregate insurance claims process is modeled by a pure jump Leevy process. We allow the management of the dividend payment policy and the investment of surplus in a continuous-time financial market, which is composed of a risk free asset and a risky asset. The information available to the insurer is partial information. We generalize this problem as a partial information regular-singular stochastic control problem, where the control variable consists of regular control and singular control. Then maximum principles are established to give sufficient and necessary optimality conditions for the solutions of the regular-singular control problem. Finally we apply the maximum principles to solve the investment and dividend problem of an insurer.