Optimal dividend policy in an insurance company with contagious arrivals of claims

Chen Yiling; Bian Baojun

doi:10.3934/mcrf.2020024

Article Contents

2021, Volume 11, Issue 1: 1-22. Doi: 10.3934/mcrf.2020024

This issue Previous Article Next Article Linear-quadratic-Gaussian mean-field-game with partial observation and common noise

Optimal dividend policy in an insurance company with contagious arrivals of claims

Chen Yiling and
Bian Baojun

School of Mathematical Sciences, Tongji University, Shanghai 200092, China

Received: August 31, 2019

Revised: November 30, 2019

Early access: March 2020

Published: February 2021

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Abstract

In this paper we consider the optimal dividend problem for an insurance company whose surplus follows a classical Cramér-Lundberg process with a feature of self-exciting. A Hawkes process is applied so that the occurrence of a jump in the claims triggers more sequent jumps. We show that the optimal value function is a unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation with a given boundary condition and declare its concavity. We introduce a barrier curve strategy and verify its optimality. Finally, some numerical results are exhibited.

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Mathematics Subject Classification: Primary 35J87, 91B30, 49J20; Secondary 49L25, 91B70, 49K20.

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Figure 1. A sample path of Hawkes process $ (N_t,\lambda_t) $ and the surplus process $ X_t $ without dividends

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Figure 2. Several optimal dividends payment strategy examples

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Figure 3. The value function

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Figure 4. The fitting barrier curve

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Figure 5. The value of $ V $ and $ V^c $ with $ \lambda = 0.5 $ and associated barrier points

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Figure 6. The barrier curve under different parameter settings (A) the decay rate $ \alpha $ (B) the long-run average of the claim intensity $ \bar\lambda $ (C) the premium rate $ p $ (D) the constant discount factor $ c $

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