Optimal Timing of Business Conversion for Solvency Improvement  

作　　者：Peng LI Ming ZHOU 

机构地区：[1]School of Finance,Nanjing University of Finance and Economics,Nanjing 210023,China [2]Center for Applied Statistics and School of Statistics,Renmin University of China,Beijing 100872,China

出　　处：《Acta Mathematicae Applicatae Sinica》2024年第3期744-757,共14页应用数学学报（英文版）

基　　金：supported by the National Natural Science Foundation of China(No.12101300,No.12371478 and No.12071498)。

摘　　要：In this paper,we study the optimal timing to convert the risk of business for an insurance company in order to improve its solvency.The cash flow of company evolves according to a jump-diffusion process.Business conversion option offers the company an opportunity to transfer the jump risk business out.In exchange for this option,the company needs to pay both fixed and proportional transaction costs.The proportional cost can also be seen as the profit loading of the jump risk business.We formulated this problem as an optimal stopping problem.By solving this stopping problem,we find that the optimal timing of business conversion mainly depends on the profit loading of the jump risk business.A larger profit loading would make the conversion option valueless.The fixed cost,however,only delays the optimal timing of business conversion.In the end,numerical results are provided to illustrate the impacts of transaction costs and environmental parameters to the optimal strategies.

关 键 词：optimal stopping jump-diffusion process conversion option 

分 类 号：F840.31[经济管理—保险] O224[理学—运筹学与控制论]