This paper considers optimal control problem of a large insurance company under higher standard of solvency . The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at describing the optimal return function as well as the optimal policy  .
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability . The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at describing the optimal return function as well as the optimal policy . As a by-product, the paper theoretically sets a risk-based capital standard to ensure the capital requirement of can cover the total risk .
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higher standard of solvency
a fixed insolvency probability
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. As a by-product, the paper theoretically sets a risk-based capital standard to ensure the capital requirement of can cover the total risk