Optimal investment with transaction costs and dividends for an insurer
Bi, Junna1 ; Meng, Qingbin2
1 School of Statistics, East China Normal University, 500 Dongchuan Road, Shanghai 200241, P.R. China.
2 Finance Department, School of Business, Renmin University of China, 59 Zhongguancun Street, Beijing 100872, P.R. China.
RAIRO - Operations Research - Recherche Opérationnelle, Special issue - Advanced Optimization Approaches and Modern OR-Applications, Tome 50 (2016) no. 4-5, pp. 845-855.

This paper investigates the optimal investment problems for an insurer whose reserve process is approximated by a diffusion model. The insurer is allowed to invest its wealth in the financial market consisting of one risk-free asset (bond) and one risky asset (stock). There are charges which equal to a fixed percentage of the amount transferred between the two assets. Under different criteria, we consider two optimization problems: one is maximizing the expected discounted utility of the dividends; the other is maximizing the insurer’s expected utility of the terminal wealth. We obtain that the optimal investment strategies are bang-bang strategies in both of the two problems. Numerical examples are given to illustrate our results.

Reçu le :
Accepté le :
DOI : 10.1051/ro/2016015
Classification : 91B28, 91B30
Mots-clés : Optimal investment, transaction costs, partial differential equation, dividend
Bi, Junna 1 ; Meng, Qingbin 2

1 School of Statistics, East China Normal University, 500 Dongchuan Road, Shanghai 200241, P.R. China.
2 Finance Department, School of Business, Renmin University of China, 59 Zhongguancun Street, Beijing 100872, P.R. China. 
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Bi, Junna; Meng, Qingbin. Optimal investment with transaction costs and dividends for an insurer. RAIRO - Operations Research - Recherche Opérationnelle, Special issue - Advanced Optimization Approaches and Modern OR-Applications, Tome 50 (2016) no. 4-5, pp. 845-855. doi : 10.1051/ro/2016015. http://www.numdam.org/articles/10.1051/ro/2016015/

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