IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2001.01646.html
   My bibliography  Save this paper

The Optimal Dynamic Reinsurance Strategies in Multidimensional Portfolio

Author

Listed:
  • Khaled Masoumifard
  • Mohammad Zokaei

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.

Suggested Citation

  • Khaled Masoumifard & Mohammad Zokaei, 2020. "The Optimal Dynamic Reinsurance Strategies in Multidimensional Portfolio," Papers 2001.01646, arXiv.org.
    • Handle: RePEc:arx:papers:2001.01646
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2001.01646
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2001.01646. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.