Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint

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.