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Optimal Dynamic XL Reinsurance

Published online by Cambridge University Press:  17 April 2015

Christian Hipp  and
Michael Vogt
Christian Hipp
Affiliation:
University of Karlsruhe, Germany
Michael Vogt
Affiliation:
University of Karlsruhe, Germany
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Abstract

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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.

Keywords

Stochastic controlRuin probabilityXL reinsurance
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 33 , Issue 2 , November 2003 , pp. 193 - 207
Copyright
Copyright © ASTIN Bulletin 2003

References

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