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This paper investigates optimal investment and proportional reinsurance policies for an insurer who subjects to pay high gain tax. The surplus process of the insurer and the return process of the financial market are both modulated by the external macroeconomic environment. The dynamic of the external macroeconomic environment is specified by a Markov chain with finite states. Once the insurer’s accumulated profits attain a new maximum, they have to pay high gain tax. The objective of the insurer is to maximize the expected terminal utility by investment and reinsurance. The controlled wealth process of the insurer turned out to be a controlled jump diffusion process with reflections and Markov regime switching. By the weak dynamic programming principle (WDPP), we prove that the value function is the unique viscosity solution to the coupled Hamilton-Jacob-Bellman (HJB) equations with first derivative boundary constraints. By the Markov chain approximating method for the HJB equations, we construct a numerical scheme for approximating the viscosity solution to the coupled HJB equations. Two numerical examples are presented to illustrate the impact of both high gain tax and regime switching on the optimal policies.

This study examines the optimal investment and dividend problem for an insurer with CRRA preference. The insurer's goal is to maximize the expected discounted accumulated utility from dividend before ruin and the insurer subjects to high gain tax payment. Both the surplus process and the financial market are modulated by an external Markov chain. Using the weak dynamic programming principle (WDPP), we prove that the value function of our control problem is the unique viscosity solution to coupled Hamilton-Jacobi-Bellman (HJB) equations with first derivative constraints. Solving an auxiliary problem without regime switching, we prove that, it is optimal for the insurer in a multiple-regime market to adopt the policies in the same way as in a single-regime market. The regularity of the viscosity solution on its domain is proved and thus the HJB equations admits classical solution. A numerical scheme for the value function is provided by the Markov chain approximation method, two numerical examples are given to illustrate the impact of the high gain tax and regime switching on the optimal policies.

This paper assumes that an insurer can control the dividend, refinancing and reinsurance strategies dynamically. Particularly, the reinsurance is provided by two reinsurers and the variance premium principle is applied in pricing insurance contracts. Using the optimal control method, we identify the optimal strategies for maximizing the insurance company's value. Meanwhile, the effects of transaction costs and terminal value at bankruptcy are investigated. The results turn out that the insurer should consider refinancing when and only when the transaction costs and terminal value are relatively low. Also, it should buy less reinsurance when the surplus increases, while the proportion of risk allocation between two reinsurers remains constant. When the dividend rate is unbounded, dividends should be paid according to the barrier strategy. When the dividend rate is restricted, dividends should be distributed according to the threshold strategy. Some examples are provided to illustrate the implementation of our results.

This article deals with an optimal dividend, reinsurance and capital injection control problem in the diffusion risk model. Under the objective of maximizing the insurance company's value, we aim at finding the joint optimal control strategy. We assume that there exist both the fixed and proportional costs in control processes and the excess-of-loss reinsurance is "expensive". We derive the closed-form solutions of the value function and optimal strategy by using stochastic control methods. Some economic interpretations of the obtained results are also given.

This study investigates a combined optimal financing, reinsurance and dividend distribution problem for a big insurance portfolio. A manager can control the surplus by buying proportional reinsurance, paying dividends and raising money dynamically. The transaction costs and liquidation values at bankruptcy are included in the risk model. Under the objective of maximising the insurance company's value, we identify the insurer's joint optimal strategies using stochastic control methods. The results reveal that managers should consider financing if and only if the terminal value and the transaction costs are not too high, less reinsurance is bought when the surplus increases or dividends are always distributed using the barrier strategy.

We assume that the asset value process of some company is directly related to its stock price dynamics, which can be modeled by geometric Brownian motion. The company can control its asset by paying dividends and injecting capitals, of course both procedures imply proportional and fixed costs for the company. To maximize the expected present value of the dividend payments minus the capital injections until the time of bankruptcy, which is defined as the first time when the asset value falls below the regulation requirement $m $, we seek to find the joint optimal dividend payment and capital injection strategy. By solving the Quasi-variational inequalities, the optimal control problem is addressed, which depends on the parameters of the model and the costs. The sensitivities of transaction costs (such as tax, consulting fees) to the optimal strategy, the expected growth rate and volatility of the firm asset value are also examined, some interesting economic insights are included.

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.

In this paper we study the combined optimal dividend, capital injection and reinsurance problems in a dynamic setting. The reinsurance premium is assumed to be calculated via the variance principle instead of the expected value principle. The proportional and fixed transaction costs and the salvage value at bankruptcy are included in the model. In both cases of unrestricted dividend rate and restricted dividend rate, we obtain the closed-form solutions of the value function and the optimal joint strategies, which depend on the transaction costs and the profitability in future.

This paper focuses on stochastic investment games between two investors with incorporating the influence of the macro economical environment that modeled by a Markov chain with $d$ states. There are two correlated assets are available to two investors, each investor can only invest into one of assets and his opponent choose to invest the other one. The dynamic of the two assets are driven by two drifted Brownian motion with coefficients specified by the functions of the Markov chain. Thus the system considered in this paper is controlled SDEs with random coefficients. Only one payoff function is available to both investors, one investor wants to maximize the expected payoff function, while his opponent wants to minimize the quantity at the same time. As results, the existence of the saddle point of the game, a couple of equations satisfied by the value functions and optimal policies for both investors are derived. Based on finite-difference method and weak convergence theory, a vector-valued Markov chain is constructed for approximating the underlying risky process weakly, which enables us to obtain the value function and optimal policies numerically. To some extend, we can view this paper as a further research of the problems proposed in Wan [23].

In this paper we consider the dividend payments and capital injections control problem in a dual risk model. Such a model might be appropriate for a company that specializes in inventions and discoveries, which pays costs continuously and has occasional profits. The objective is to maximize the expected present value of the dividends minus the discounted costs of capital injections. This paper can be considered as an extension of Yao et al. (2010), we include fixed transaction costs incurred by capital injections in this paper. This leads to an impulse control problem. Using the techniques of quasi-variational inequalities (QVI), this optimal control problem is solved. Numerical solutions are provided to illustrate the idea and methodologies, and some interesting economic insights are included.

We consider the optimal control problem with dividend payments and issuance of equity in a dual risk model. Such a model might be appropriate for a company that specializes in inventions and discoveries, which pays costs continuously and has occasional profits. Assuming proportional transaction costs, we aim at finding optimal strategy which maximizes the expected present value of the dividends payout minus the discounted costs of issuing new equity before bankruptcy. By adopting some of the techniques and methodologies in L$\phi$kka and Zervos (2008), we construct two categories of suboptimal models, one is the ordinary dual model without issuance of equity, the other one assumes that, by issuing new equity, the company never goes bankrupt. We identify the value functions and the optimal strategies corresponding to the suboptimal models in two different cases. For exponentially distributed jump sizes, closed-form solutions are obtained.

In this paper, optimal problems for the insurer who can invest on risky market and purchase reinsurance are considered. The surplus process of the insurer is a kind of perturbed classical risk model with stochastic premium income. The investment return generating process of the risky market is a drifted Brownian motion plus a compound Poisson process. The objective function in this paper is to maximize the expected utility of wealth of the insurer at terminal time, say $T$. By solving the Hamilton-Jacobi-Bellman equations related to our optimal control problems, the closed form expression for optimal strategy and the value function is derived, which indicates that the value function for an insurer to purchase both investment and reinsurance is always better than the one for the insurer to purchase only either investment or reinsurance.