Optimal Reinsurance Maximising Dividends: An Infinite‑Dimensional Optimisation Approach and Numerical Results
The study designs optimal reinsurance contracts maximizing insurer dividends under budget and solvency constraints. Dynamic scenarios simplify to static problems. Tailored dividend rules add complexity, solved through infinite-dimensional Lagrangian problems. Multi-layer contracts, determined by Lagrangian multipliers, are approximated using a linear programming algorithm for practical application in reinsurance design.