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This paper assumes that an insurer can control the dividend, reinsurance and refinancing strategies dynamically, and needs to bear proportional and fixed transaction costs. Different from previous literature, we assume that the insurer can buy reinsurance from two groups of reinsurers, i.e. the first group consists of m reinsurers and the second group consists of n reinsurers. The two groups of reinsurers have different risk attitudes and use the variance premium principle and the exponential premium principle in pricing, respectively. By using the optimal control methods, we obtain the optimal joint strategies for maximizing the insurance company's value. The results prove that dividends should be paid according to the impulse strategy; refinancing should be considered if and only if the transaction costs are not too high and the surplus is null; the insurer should diversify risks to all reinsurers in the market simultaneously when the surplus is not too large. The proportion of risk ceded to each reinsurer depends on its quoted price. Finally, numerical examples and economic interpretations are provided to make illustrations. [ABSTRACT FROM AUTHOR]

This study examines the optimal investment and dividend problem for an insurer with CRRA preference. The insurer's goal is to maximize the expected discounted accumulated utility from dividend before ruin and the insurer subjects to high gain tax payment. Both the surplus process and the financial market are modulated by an external Markov chain. Using the weak dynamic programming principle (WDPP), we prove that the value function of our control problem is the unique viscosity solution to coupled Hamilton-Jacobi-Bellman (HJB) equations with first derivative constraints. Solving an auxiliary problem without regime switching, we prove that, it is optimal for the insurer in a multiple-regime market to adopt the policies in the same way as in a single-regime market. The regularity of the viscosity solution on its domain is proved and thus the HJB equations admits classical solution. A numerical scheme for the value function is provided by the Markov chain approximation method, two numerical examples are given to illustrate the impact of the high gain tax and regime switching on the optimal policies. [ABSTRACT FROM AUTHOR]

This paper assumes that an insurer can control the dividend, refinancing and reinsurance strategies dynamically. Particularly, the reinsurance is provided by two reinsurers and the variance premium principle is applied in pricing insurance contracts. Using the optimal control method, we identify the optimal strategies for maximizing the insurance company's value. Meanwhile, the effects of transaction costs and terminal value at bankruptcy are investigated. The results turn out that the insurer should consider refinancing when and only when the transaction costs and terminal value are relatively low. Also, it should buy less reinsurance when the surplus increases, while the proportion of risk allocation between two reinsurers remains constant. When the dividend rate is unbounded, dividends should be paid according to the barrier strategy. When the dividend rate is restricted, dividends should be distributed according to the threshold strategy. Some examples are provided to illustrate the implementation of our results. [ABSTRACT FROM AUTHOR]

This article deals with an optimal dividend, reinsurance and capi- tal injection control problem in the di usion risk model. Under the objective of maximizing the insurance company's value, we aim at finding the joint optimal control strategy. We assume that there exist both the fixed and proportional costs in control processes and the excess-of-loss reinsurance is "expensive". We derive the closed-form solutions of the value function and optimal strategy by using stochastic control methods. Some economic interpretations of the obtained results are also given. [ABSTRACT FROM AUTHOR]

This article supposes that a large insurance company can control its surplus process by reinsurance, paying dividends, or injecting capitals. The exponential premium principle and proportional reinsurance are adopted in business activities. We investigate the general situation that the company needs to pay both proportional and fixed costs for dividends and capital injections. The object of the company is to determine an optimal joint reinsurance–dividend–capital injection strategy for maximizing the expected present value of dividends less capital injections until the time of bankruptcy. In both cases of non cheap and cheap reinsurance, we obtain the explicit solutions for value function and optimal strategy. [ABSTRACT FROM AUTHOR]