no code implementations • 18 Apr 2023 • Zhuo Jin, Zuo Quan Xu, Bin Zou
Due to the presence of the incentive compatibility constraint and the nonconcavity of the distortion, the optimal contract is obtained as a solution to a double obstacle problem.
no code implementations • 12 Dec 2020 • Zhuo Jin, Zuo Quan Xu, Bin Zou
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate.
no code implementations • 20 Sep 2019 • Zhuo Jin, Huafu Liao, Yue Yang, Xiang Yu
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk.
