Reinsurance Market Mechanisms and Dividend Strategies for an Insurance Company
CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER
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This study consists of two parts 1 A Reinsurance Market is described and studied in a manner similar to those of stock market theories and the existence of an equilibrium price function is shown 2The sequential reinsurance-dividend problem of the Insurance Company I.C. is formulated as a dynamic programming problem and closed form solutions found for a class of utility functions. It is shown that the optimal dividend strategy is linear in the reserves level and that the prereinsurance wealth of the I.C. does not influence the optimal form of its postreinsurance wealth.
- Economics and Cost Analysis
- Operations Research