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Abstract: The aim of this paper is to introduce an insurance model allowing reinsuranceand dividend payment. Our model deals with several homogeneous contracts andtakes into account the legislation regarding the provisions to be justified bythe insurance companies. This translates into some restriction on the maximalnumber of contracts the company is allowed to cover. We deal with a controlledjump process in which one has free choice of retention level and dividendamount. The value function is given as the maximized expected discounteddividends. We prove that this value function is a viscosity solution of somefirst-order Hamilton-Jacobi-Bellman variational inequality. Moreover, auniqueness result is provided.



Author: D. Goreac

Source: https://arxiv.org/







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