Optimal proportional reinsurance policy based on regulations

MaRDI QIDQ3052243zbMATH OpenFDO

Authors Yan Zeng, Zhongfei Li

Publication date 5 November 2010

zbMATH Keywords

Hamilton-Jacobi-Bellman equationproportional reinsuranceruin probabilitysurplus process

Mathematics Subject Classification ID

Dynamic programming (90C39) Dynamic programming in optimal control and differential games (49L20)

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Cited in

(2)

• Statutory regulation of casualty insurance companies: An example from Norway with stochastic programming analysis
• On optimal planning of the reserve with applications to insurance.

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