Optimal dynamic reinsurance strategies in multidimensional portfolio

DOI10.1080/07362994.2020.1774390MaRDI QIDQ4964407zbMATH OpenOpenAlexFDO

Authors Khaled Masoumifard, Mohammad Zokaei

Publication date 2 March 2021

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.01646

zbMATH Keywords

Cramer-Lundberg processdynamic programing principleHamilton-Jacobi-Bellman equationoptimal reinsuranceviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Dynamic programming (90C39) Actuarial mathematics (91G05)

Abstract: The present paper addresses the issue of choosing an optimal dynamic reinsurance policy, which is state-dependent, for an insurance company that operates under multiple insurance business lines. The optimal survival function is characterized as the unique nondecreasing viscosity solution of the associated Hamilton-Jacobi-Bellman equation (HJB) equation with limit one at infinity. The finite difference method (FDM) has been utilized for the numerical solution of the optimal survival function and optimal dynamic reinsurance strategies and the proof for the convergence of the numerical solution to the survival probability function is provided.

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Cites work

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Cited in

(7)

• Optimal dynamic reinsurance policies for large insurance portfolios
• An optimization approach to adaptive multi-dimensional capital management
• Optimal multidimensional reinsurance policies under a common shock dependency structure
• scientific article; zbMATH DE number 6613877 (Why is no real title available?)
• scientific article; zbMATH DE number 5629903 (Why is no real title available?)
• Multiple per-claim reinsurance based on maximizing the Lundberg exponent
• ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach

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