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Inventi Impact - Microfinance & Banking

Articles

  • Inventi:mmb/19554/16
    OPTIMAL INVESTMENT PROBLEM OF AN INSURER WITH CONSUMPTION AND DIVIDENDS UNDER PROPORTIONAL REINSURANCE AND EXPONENTIAL UTILITY PREFERENCE: THE IMPLICATION OF MODE OF TAXATION AND TRANSACTION COSTS CHARGING
    Silas A Ihedioha*

    In this study, the implication of mode of taxation and transaction costs charging on an insurer’s investment when dividends, consumption and reinsurance are involved was investigated. The associated H-J-B equation in the optimization problem was established using Ito’s lemma. The insurer’s surplus process was approximated by a Brownian motion with drift. Solving the H-J-B equations, obtained the explicit optimal strategies for cases when transaction costs and taxes are charged on the insurer’s investment in the risky asset only and the total investment. A relationship was established between both cases for the investment in the risky.

    How to Cite this Article
    Silas A Ihedioha. Optimal Investment Problem of an Insurer with Consumption and Dividends under Proportional Reinsurance and Exponential Utility Preference: The Implication of Mode of Taxation and Transaction Costs Charging. Inventi Impact: Microfinance & Banking, 2016(4):195-204, 2016.
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