Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint
Joint Authors
Source
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-01-08
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle.
The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg model.
We assume the dynamic VaR constraints for proportional reinsurance.
We obtain the closed form expression of the optimal reinsurance strategy and corresponding survival probability under proportional reinsurance.
American Psychological Association (APA)
Wen, Yuzhen& Yin, Chuancun. 2019. Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint. Journal of Function Spaces،Vol. 2019, no. 2019, pp.1-7.
https://search.emarefa.net/detail/BIM-1174830
Modern Language Association (MLA)
Wen, Yuzhen& Yin, Chuancun. Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint. Journal of Function Spaces No. 2019 (2019), pp.1-7.
https://search.emarefa.net/detail/BIM-1174830
American Medical Association (AMA)
Wen, Yuzhen& Yin, Chuancun. Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint. Journal of Function Spaces. 2019. Vol. 2019, no. 2019, pp.1-7.
https://search.emarefa.net/detail/BIM-1174830
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1174830