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We consider a classical heavy tailed risk model, included in a regulation mechanism. The regulator exercises a minimal cash requirement level and penalties for violating it to regulate the insurance firm. The problem of the insurance firm is to establish an investment and risk exposure policy as well as a barrier dividend strategy, which is a function of the strategy used by the regulator. For regularly...
Under a regulation imposed by a regulatory authority, a general risk model is studied with stationary independent increments. The regulatory authority's problem is to exercise a regulation barrier and penalties to protect the insured with minimum cost. For an insurance firm with the given regulation, it has to maximize its long run average profit per unit time by seeking an investment-dividend policy...
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