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 |
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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 |