Optimal dividend and risk control strategies for an insurer when there are multiple reinsurers with different risk attitudes

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-08-28 DOI:10.1016/j.frl.2024.106010

引用次数: 0

Abstract

Suppose that insurer can control dividend, refinancing and reinsurance strategies dynamically. Different from the past, there are multiple reinsurers rather than sole reinsurer in the market. The insurer aim at finding the optimal strategies for maximizing the company’s value. It illustrates that refinancing can be considered iff the company has strong profitability; It should reduce reinsurance purchase when the surplus increases. The amount of risk ceded to the reinsurer depends on its risk attitude. The optimal dividend policy is of barrier type when the dividend rate is unbounded and is of threshold type when the dividend rate is bounded.

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当有多个风险态度不同的再保险人时，保险公司的最佳分红和风险控制策略

假设保险公司可以动态控制分红、再融资和再保险策略。与以往不同的是，市场上有多个再保险公司，而不是唯一的再保险公司。保险公司的目标是找到最优策略，实现公司价值最大化。这说明，如果公司盈利能力强，可以考虑再融资；当盈余增加时，应减少再保险的购买。分给再保险公司的风险大小取决于其风险态度。当股息率不受限制时，最优股息政策属于障碍型；当股息率受限制时，最优股息政策属于临界型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance

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