Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint
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Publication:2631901
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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- scientific article; zbMATH DE number 5027121
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Cited in
(12)- Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
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