Optimal investment policy and dividend payment strategy in an insurance company

We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cram\'{e}r--Lundberg process. The firm has the option of investing part of the surplus in a Black--Scholes financial market. The objective is to find a strategy consisting of both investment and dividend payment policies which maximizes the cumulative expected discounted dividend pay-outs until the time of bankruptcy. We show that the optimal value function is the smallest viscosity solution of the associated second-order integro-differential Hamilton--Jacobi--Bellman equation. We study the regularity of the optimal value function. We show that the optimal dividend payment strategy has a band structure. We find a method to construct a candidate solution and obtain a verification result to check optimality. Finally, we give an example where the optimal dividend strategy is not barrier and the optimal value function is not twice continuously differentiable.Comment: Published in at http://dx.doi.org/10.1214/09-AAP643 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Prensa y emigración española en América [Presentación del dossier]

A pesar de que la emigración a América constituye una de las variables demográficas estructurales más importantes en el devenir español, la investigación histórica no estuvo muy interesada en ella. La conexión con las nuevas repúblicas americanas permitió desarrollar unos flujos migratorios pendulares que conectaron en los siglos XIX y XX España con América, y que, en el siglo XXI, han conectado América con España, en un juego de procesos en espejo. Sin embargo, todo este entramado no despertó el interés de los académicos y tenemos que esperar a los años 70 del siglo veinte para empezar a visibilizar el fenómeno. El denominador común es el interés por utilizar la prensa como recurso heurístico y hermenéutico en este volumen, para analizar estudios de caso relacionados con la prensa y las publicaciones que desarrollaron las colectividades migrantes. Lo primero que cabría resaltar en las posibilidades que para el estudio ofrece la prensa es la capacidad que tiene de expresar, entre otros fenómenos, los eventos cotidianos

Migración y Redes de Poder en América: El caso de los industriales españoles en Valparaíso (Chile) 1860-1930

In this work we analyze the Spanish migrant integration in the Chilean society focusing in its main harbour city,Valparaiso, and through the evolution of its industry. We also analyze the genesis and evolution of the power nets of that group through the ethnic institution that reinforce business relations and permit their projection.En este trabajo analizamos la integración de los migrantes españoles en la sociedad chilena, específicamente en su principal ciudad portuaria, Valparaíso, a través del desarrollo de una actividad laboral, la industria. Así mismo, analizamos la génesis y el desarrollo de las redes de poder de dicho grupo, a través de instituciones étnicas que fortalecen los vínculos y que permiten la proyección de relaciones empresariales

Parámetros históricos de la regionalización americana.

Sin resume

Optimal dividend strategies for a catastrophe insurer

In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company and the portfolio contains claims due to natural catastrophes, modelled by a shot-noise Cox claim number process. The optimal value function of the resulting two-dimensional stochastic control problem is shown to be the smallest viscosity supersolution of a corresponding Hamilton-Jacobi-Bellman equation, and we prove that it can be uniformly approximated through a discretization of the space of the free surplus of the portfolio and the current claim intensity level. We implement the resulting numerical scheme to identify optimal dividend strategies for such a natural catastrophe insurer, and it is shown that the nature of the barrier and band strategies known from the classical models with constant Poisson claim intensity carry over in a certain way to this more general situation, leading to action and non-action regions for the dividend payments as a function of the current surplus and intensity level. We also discuss some interpretations in terms of upward potential for shareholders when including a catastrophe sector in the portfolio

Optimal dividend strategies for a catastrophe insurer

In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company and the portfolio contains claims due to natural catastrophes, modelled by a shot-noise Cox claim number process. The optimal value function of the resulting two-dimensional stochastic control problem is shown to be the smallest viscosity supersolution of a corresponding Hamilton-Jacobi-Bellman equation, and we prove that it can be uniformly approximated through a discretization of the space of the free surplus of the portfolio and the current claim intensity level. We implement the resulting numerical scheme to identify optimal dividend strategies for such a natural catastrophe insurer, and it is shown that the nature of the barrier and band strategies known from the classical models with constant Poisson claim intensity carry over in a certain way to this more general situation, leading to action and non-action regions for the dividend payments as a function of the current surplus and intensity level. We also discuss some interpretations in terms of upward potential for shareholders when including a catastrophe sector in the portfolio