Optimal Dynamic Proportional and Excess of Loss Reinsurance under Dependent Risks

Gosio, Cristina and Lari, Ester C. and Ravera, Marina (2016) Optimal Dynamic Proportional and Excess of Loss Reinsurance under Dependent Risks. Modern Economy, 07 (06). pp. 715-724. ISSN 2152-7245

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Abstract

In this paper, we study an optimal reinsurance strategy combining a proportional and an excess of loss reinsurance. We refer to a collective risk theory model with two classes of dependent risks; particularly, the claim number of the two classes of insurance business has a bivariate Poisson distribution. In this contest, our aim is to maximize the expected utility of the terminal wealth. Using the control technique, we write the Hamilton-Jacobi-Bellman equation and, in the special case of the only excess of loss reinsurance, we obtain the optimal strategy in a closed form, and the corresponding value function.

Item Type: Article
Subjects: East India Archive > Multidisciplinary
Depositing User: Unnamed user with email support@eastindiaarchive.com
Date Deposited: 03 Sep 2024 05:35
Last Modified: 03 Sep 2024 05:35
URI: http://ebooks.keeplibrary.com/id/eprint/1671

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