Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint

DOI10.1155/2019/6750892MaRDI QIDQ2631901zbMATHOpenAlexWikidataFDO

Authors Yuzhen Wen, Chuancun Yin

Publication date 16 May 2019

Published in Journal of Function Spaces (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2019/6750892

zbMATH Keywords

optimal reinsurancedynamic VaR constraintCramér-Lunderberg model

Mathematics Subject Classification ID

Hamilton-Jacobi theories (49L99)

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• scientific article; zbMATH DE number 5027121

Cites work

• Benchmark and mean-variance problems for insurers
• Controlled Markov processes and viscosity solutions
• Dynamic mean-variance problem with constrained risk control for the insurers
• On minimizing the ruin probability by investment and reinsurance
• Optimal Dynamic Trading Strategies with Risk Limits
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Optimal portfolios under a value-at-risk constraint
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Optimal reinsurance and investment with unobservable claim size and intensity
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under dynamic VaR constraint
• Optimal reinsurance under general law-invariant risk measures
• Optimal reinsurance with regulatory initial capital and default risk
• Optimal risk and dividend distribution control models for an insurance company
• Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk

Cited in

(12)

• On some parameter estimation algorithms for the nonlinear exponential autoregressive model
• Hierarchical recursive generalized extended least squares estimation algorithms for a class of nonlinear stochastic systems with colored noise
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments
• Maximum likelihood gradient identification for multivariate equation‐error moving average systems using the multi‐innovation theory
• Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
• Highly computationally efficient state filter based on the delta operator
• Multi-innovation gradient estimation algorithms for multivariate equation-error autoregressive moving average systems based on the filtering technique
• State estimation for bilinear systems through minimizing the covariance matrix of the state estimation errors
• The filtering‐based maximum likelihood iterative estimation algorithms for a special class of nonlinear systems with autoregressive moving average noise using the hierarchical identification principle
• Optimal reinsurance approach with barrier dividend under the dynamic VaR constraint
• Optimal reinsurance under dynamic VaR constraint

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