Dynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-26, 26 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-12-26
Country of Publication
Egypt
No. of Pages
26
Main Subjects
Abstract EN
We consider the dynamic proportional reinsurance in a two-dimensional compound Poisson risk model.
The optimization in the sense of minimizing the ruin probability which is defined by the sum of subportfolio is being ruined.
Via the Hamilton-Jacobi-Bellman approach we find a candidate for the optimal value function and prove the verification theorem.
In addition, we obtain the Lundberg bounds and the Cramér-Lundberg approximation for the ruin probability and show that as the capital tends to infinity, the optimal strategies converge to the asymptotically optimal constant strategies.
The asymptotic value can be found by maximizing the adjustment coefficient.
American Psychological Association (APA)
Li, Yan& Liu, Guoxin. 2012. Dynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model. Discrete Dynamics in Nature and Society،Vol. 2012, no. 2012, pp.1-26.
https://search.emarefa.net/detail/BIM-499217
Modern Language Association (MLA)
Li, Yan& Liu, Guoxin. Dynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model. Discrete Dynamics in Nature and Society No. 2012 (2012), pp.1-26.
https://search.emarefa.net/detail/BIM-499217
American Medical Association (AMA)
Li, Yan& Liu, Guoxin. Dynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model. Discrete Dynamics in Nature and Society. 2012. Vol. 2012, no. 2012, pp.1-26.
https://search.emarefa.net/detail/BIM-499217
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-499217