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Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
Authors:Lihua Bai  Junyi Guo  Huayue Zhang
Institution:1. Department of Mathematics , Nankai University , Tianjin, 300071, PR China lihuabaink@yahoo.com.cn;3. Department of Mathematics , Nankai University , Tianjin, 300071, PR China;4. Department of Finance , Nankai University , Tianjin, 300071, PR China
Abstract:In this paper we study the optimal excess-of-loss reinsurance and dividend strategy for maximizing the expected total discounted dividends received by shareholders until ruin time. Transaction costs and taxes are required when dividends occur. The problem is formulated as a stochastic impulse control problem. By solving the corresponding quasi-variational inequality, we obtain analytical solutions for the optimal return function and the optimal strategy.
Keywords:Transaction costs  Stochastic processes  Dynamic programming  Insurance mathematics  Optimal policies
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