Mataramvura, Sure - In: Cogent economics & finance 7 (2019) 1, pp. 1-11
We solve the problem of an insurer who decides to optimally allocate a proportion (1-a(t)) of premiums to a re-insurance company (thereby retaining a proportion a(t) of premiums) and who also has to optimally pay dividends c(t) at any time t to shareholders. If the insurer’s reserve x(t) is a...