NDLI: Optimal Dynamic XL Reinsurance

Content Provider	Scilit
Author	Hipp, Christian Vogt, Michael
Copyright Year	2003
Description	We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a verification theorem. Numerical examples with exponential, shifted exponential, and Pareto claims are given.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/D0770C372639274990A382F825FD1C61/S051503610001343Xa.pdf/div-class-title-optimal-dynamic-xl-reinsurance-div.pdf
Ending Page	207
Page Count	15
Starting Page	193
ISSN	05150361
e-ISSN	17831350
DOI	10.1017/s051503610001343x
Journal	ASTIN Bulletin
Issue Number	2
Volume Number	33
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2003-11-01
Access Restriction	Open
Subject Keyword	ASTIN Bulletin Mathematical Physics Stochastic Control Ruin Probability Xl Reinsurance
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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Optimal Dynamic XL Reinsurance