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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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
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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