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

Vascongadas y América.

Sin resume

Optimal dividend strategies for two collaborating insurance companies

We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's deficit when possible. We solve the stochastic control problem of maximizing the weighted sum of expected discounted dividend payments (among all admissible dividend strategies) until ruin of both companies, by extending results of univariate optimal control theory. In the case that the dividends paid by the two companies are equally weighted, the value function of this problem compares favorably with the one of merging the two companies completely. We identify this optimal value function as the smallest viscosity supersolution of the respective Hamilton-Jacobi-Bellman equation and provide an iterative approach to approximate it numerically. Curve strategies are identified as the natural analogue of barrier strategies in this two-dimensional context. A numerical example is given for which such a curve strategy is indeed optimal among all admissible dividend strategies, and for which this collaboration mechanism also outperforms the suitably weighted optimal dividend strategies of the two stand-alone companies