Reinsurance Market Mechanisms and Dividend Strategies for an Insurance Company

Abstract

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; (2)The 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.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1975
Accession Number
ADA019481

Entities

People

  • Pantelis M. Pechlivanides

Organizations

  • University of California, Berkeley

Tags

Communities of Interest

  • Biomedical
  • Human Systems

DTIC Thesaurus Topics

  • Banach Space
  • Commerce
  • Contracts
  • Dynamic Programming
  • Economics
  • Equations
  • Functional Analysis
  • Hilbert Space
  • Inequalities
  • Investments
  • Military Research
  • Money
  • Operations Research
  • Point Theorem
  • Probability
  • Probability Density Functions
  • Random Variables

Readers

  • Game Theory.
  • Government Contracting/Procurement.