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...
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Journal of Function Spaces |
| Online Access: | http://dx.doi.org/10.1155/2019/6750892 |
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| _version_ | 1832554238457151488 |
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| author | Yuzhen Wen Chuancun Yin |
| author_facet | Yuzhen Wen Chuancun Yin |
| author_sort | Yuzhen Wen |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-97697efd2f4b4573a8293755dd80ba3f |
| institution | Kabale University |
| issn | 2314-8896 2314-8888 |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Function Spaces |
| spelling | doaj-art-97697efd2f4b4573a8293755dd80ba3f2025-02-03T05:52:08ZengWileyJournal of Function Spaces2314-88962314-88882019-01-01201910.1155/2019/67508926750892Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR ConstraintYuzhen Wen0Chuancun Yin1School of Statistics, Qufu Normal University, Shandong 273165, ChinaSchool of Statistics, Qufu Normal University, Shandong 273165, ChinaThis 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.http://dx.doi.org/10.1155/2019/6750892 |
| spellingShingle | Yuzhen Wen Chuancun Yin Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint Journal of Function Spaces |
| title | Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint |
| title_full | Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint |
| title_fullStr | Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint |
| title_full_unstemmed | Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint |
| title_short | Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint |
| title_sort | solution of hamilton jacobi bellman equation in optimal reinsurance strategy under dynamic var constraint |
| url | http://dx.doi.org/10.1155/2019/6750892 |
| work_keys_str_mv | AT yuzhenwen solutionofhamiltonjacobibellmanequationinoptimalreinsurancestrategyunderdynamicvarconstraint AT chuancunyin solutionofhamiltonjacobibellmanequationinoptimalreinsurancestrategyunderdynamicvarconstraint |