Optimal non-proportional reinsurance control
This paper deals with the problem of ruin probability minimization under various investment control and reinsurance schemes. We first look at the minimization of ruin probabilities in the models in which the surplus process is a continuous diffusion process in which we employ stochastic control to find the optimal policies for reinsurance and investment. We then focus on the case in which the surplus process is modeled via a classical Lundberg process, i.e. the claims process is compound Poisson. There, the optimal reinsurance policy is derived from the Hamilton-Jacobi-Bellman equation.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hipp, Christian & Vogt, Michael, 2003. "Optimal Dynamic XL Reinsurance," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(02), pages 193-207, November.
When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:47:y:2010:i:2:p:246-254. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.