A BSDE-based approach for the optimal reinsurance problem under partial information

DOI10.1016/J.INSMATHECO.2020.07.009MaRDI QIDQ2212153zbMATH OpenOpenAlexFDO

Authors Matteo Brachetta, Claudia Ceci

Publication date 19 November 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.05999

zbMATH Keywords

backward stochastic differential equationsoptimal reinsurancepartial informationstochastic controlstochastic factor risk models

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Actuarial mathematics (91G05) Optimal stochastic control (93E20)

Abstract: We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival intensity and claim sizes distribution affected by an unobservable environmental stochastic factor. By filtering techniques (with marked point process observations), we reduce the original problem to an equivalent stochastic control problem under full information. Since the classical Hamilton-Jacobi-Bellman approach does not apply, due to the infinite dimensionality of the filter, we choose an alternative approach based on Backward Stochastic Differential Equations (BSDEs). Precisely, we characterize the value process and the optimal reinsurance strategy in terms of the unique solution to a BSDE driven by a marked point process.

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Cited in

(17)

• Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
• Optimal investment strategy for an insurer with partial information in capital and insurance markets
• A continuous-time model of self-protection
• Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
• Optimal entry decision of unemployment insurance under partial information
• BSDEs under partial information and financial applications
• A BSDE approach to optimal investment of an insurer with hidden regime switching
• Optimal reinsurance via BSDEs in a partially observable model with jump clusters
• Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
• A BSDE approach to a risk-based optimal investment of an insurer
• Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• BSDE with jumps when mean reflection is nonlinear
• The design of optimal re-insurance contracts when losses are clustered
• Optimal self-protection via BSDEs for risk models with jump clusters
• Heterogeneous reinsurance premiums under a trilateral stochastic differential game
• Portfolio and reinsurance optimization under unknown market price of risk

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