On the gain of collaboration in a two dimensional ruin problem (Q2304005)

The author studies the best strategy for two insurance companies which collaborate by transfer payments to ensure survival of both. By assumption their endowment processes are independent Brownian processes with positive drifts and the transfer process is absolutely continuous. Searching the solution leads to an optimal control problem and its associated Hamilton-Jacobi-Bellman equation. An explicit formula is obtained for the value function of the problem and it appears that the optimal strategy amounts to giving all possible drift to the weaker company, apart from some set reserve.