Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint
This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg model. We assume the dynamic VaR constraints for p...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2019-01-01
|
| Series: | Journal of Function Spaces |
| Online Access: | http://dx.doi.org/10.1155/2019/6750892 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg model. We assume the dynamic VaR constraints for proportional reinsurance. We obtain the closed form expression of the optimal reinsurance strategy and corresponding survival probability under proportional reinsurance. |
|---|---|
| ISSN: | 2314-8896 2314-8888 |