Optimal Reinsurance and Dividend Payment Strategies

This paper presents a normative model for the sequential reinsurance and dividend-payment problem of the Insurance Coral) any (I.C.). Optimal strategies are found in closed form for a class of utility functions. In some sense the model studied can be viewed as an adaptation of Hakansson's investment-consumption model of the individual [3] or a generalization of Frisque's model for the dynamic management of an I.C. [2].