Optimal investment and consumption for an insurer with high-watermark performance fee
type: Item
instance of: scholarly article
title: Optimal investment and consumption for an insurer with high-watermark performance fee
zbMATH Open document ID: 1394.91237
DOI: 10.1155/2015/413072
author: Lin Xu
author: Hao Wang
author: Dingjun Yao
published in: Mathematical Problems in Engineering
publication date: 2018-08-27T00:00:00Z
review text: Summary: The optimal investment and consumption problem is investigated for an insurance company, which is subject to the payment of high-watermark fee from profit. The objective of insurance company is to maximize the expected cumulated discount utility up to ruin time. The consumption behavior considered in this paper can be viewed as dividend payment of the insurance company. It turns out that the value function of the proposed problem is the viscosity solution to the associated HJB equation. The regularity of the viscosity is discussed and some asymptotic results are provided. With the help of the smooth properties of viscosity solutions, we complete the verification theorem of the optimal control policies and the potential applications of the main result are discussed.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6926298
Wikidata QID: Q59118514
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2015/413072
OpenAlex ID: W1954032372
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description: scientific article; zbMATH DE number 6926298