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Optimal dynamic reinsurance with dependent risks: variance premium principle
| Content Provider | Scilit |
|---|---|
| Author | Liang, Zhibin Yuen, Kam Chuen |
| Copyright Year | 2014 |
| Description | In this paper, we consider the optimal proportional reinsurance strategy in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. Under the criterion of maximizing the expected exponential utility with the variance premium principle, we adopt a nonstandard approach to examining the existence and uniqueness of the optimal reinsurance strategy. Using the technique of stochastic control theory, closed-form expressions for the optimal strategy and the value function are derived for the compound Poisson risk model as well as for the Brownian motion risk model. From the numerical examples, we see that the optimal results for the compound Poisson risk model are very different from those for the diffusion model. The former depends not only on the safety loading, time, and the interest rate, but also on the claim size distributions and the claim number processes, while the latter depends only on the safety loading, time, and the interest rate. |
| Related Links | https://core.ac.uk/download/pdf/38048797.pdf http://hub.hku.hk/bitstream/10722/199242/1/Content.pdf |
| Ending Page | 36 |
| Page Count | 19 |
| Starting Page | 18 |
| ISSN | 03461238 |
| e-ISSN | 16512030 |
| DOI | 10.1080/03461238.2014.892899 |
| Journal | Scandinavian Actuarial Journal |
| Issue Number | 1 |
| Volume Number | 2016 |
| Language | English |
| Publisher | Informa UK Limited |
| Publisher Date | 2014-02-05 |
| Access Restriction | Open |
| Subject Keyword | Journal: Scandinavian Actuarial Journal Applied Mathematics Brownian Motion Common Shock Compound Poisson Process Diffusion Process Exponential Utility Hamilton–jacobi–bellman Equation Proportional Reinsurance |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Economics and Econometrics Statistics, Probability and Uncertainty |
