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On a model for the efficient operation of a bank or insurance company. (English) Zbl 1151.91057

Summary: The authors study a model for the optimal operation of a bank or insurance company which was recently introduced by Peura and Keppo. The model generalizes a previous one of A. Milne and D. Robertson [J. Econ. Dyn. Control 20, No. 8, 1427–1449 (1996; Zbl 0875.90043)] by allowing the bank to raise capital as well as to pay out dividends. Optimal operation of the bank is determined by solving an optimal control problem. In this paper it is shown that the solution of the optimal control problem proposed by Peura and Keppo exists for all values of the parameters and is unique.

MSC:

91B30 Risk theory, insurance (MSC2010)
93E20 Optimal stochastic control
60J60 Diffusion processes

Citations:

Zbl 0875.90043
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