Optimal dynamic XL reinsurance

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- Bellmann equation as well as a verification theorem.

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Year of publication:	2003-11-01
Authors:	Hipp, Christian ; Vogt, Michael
Institutions:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Published in:	Casualty Actuarial Society - Publications ASTIN BULLETIN ; Vol.33, No.2, 2003, pp.193-207
Subject:	Rückversicherung \| Ruintheorie \| rmite time ruin probabilities

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Extent:	384000 bytes 15 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847003