Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint (Q2631901)
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scientific article; zbMATH DE number 7055714
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| English | Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint |
scientific article; zbMATH DE number 7055714 |
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Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint (English)
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16 May 2019
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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.
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optimal reinsurance
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dynamic VaR constraint
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Cramér-Lunderberg model
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0.8912646770477295
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0.8675504922866821
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0.8615908622741699
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0.8457154035568237
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