Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
Abstract In this paper, from an insurer’s point of view, we consider the optimal combining quota-share and excess of loss reinsurance to maximize the expected exponential utility from terminal wealth. By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Liang, Zhibin [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2010 |
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| Schlagwörter: |
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| Anmerkung: |
© Korean Society for Computational and Applied Mathematics 2010 |
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| Übergeordnetes Werk: |
Enthalten in: Journal of applied mathematics and computing - Berlin : Springer, 2006, 36(2010), 1-2 vom: 11. Feb., Seite 11-25 |
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| Übergeordnetes Werk: |
volume:36 ; year:2010 ; number:1-2 ; day:11 ; month:02 ; pages:11-25 |
| Links: |
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| DOI / URN: |
10.1007/s12190-010-0385-8 |
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| Katalog-ID: |
SPR025149970 |
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| 245 | 1 | 0 | |a Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility |
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| 520 | |a Abstract In this paper, from an insurer’s point of view, we consider the optimal combining quota-share and excess of loss reinsurance to maximize the expected exponential utility from terminal wealth. By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the closed form expressions of the optimal strategies and value function not only for the diffusion approximation risk model but also for the jump-diffusion risk model. We also conclude that, under some conditions, there exists a pure excess of loss reinsurance strategy which is better than any combinational reinsurance strategy. | ||
| 650 | 4 | |a Expected utility |7 (dpeaa)DE-He213 | |
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| 650 | 4 | |a Compound Poisson process |7 (dpeaa)DE-He213 | |
| 650 | 4 | |a Hamilton-Jacobi-Bellman equation |7 (dpeaa)DE-He213 | |
| 650 | 4 | |a Quota-share reinsurance |7 (dpeaa)DE-He213 | |
| 650 | 4 | |a Excess of loss reinsurance |7 (dpeaa)DE-He213 | |
| 700 | 1 | |a Guo, Junyi |4 aut | |
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10.1007/s12190-010-0385-8 doi (DE-627)SPR025149970 (SPR)s12190-010-0385-8-e DE-627 ger DE-627 rakwb eng Liang, Zhibin verfasserin aut Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility 2010 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Korean Society for Computational and Applied Mathematics 2010 Abstract In this paper, from an insurer’s point of view, we consider the optimal combining quota-share and excess of loss reinsurance to maximize the expected exponential utility from terminal wealth. By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the closed form expressions of the optimal strategies and value function not only for the diffusion approximation risk model but also for the jump-diffusion risk model. We also conclude that, under some conditions, there exists a pure excess of loss reinsurance strategy which is better than any combinational reinsurance strategy. Expected utility (dpeaa)DE-He213 Diffusion approximation (dpeaa)DE-He213 Compound Poisson process (dpeaa)DE-He213 Hamilton-Jacobi-Bellman equation (dpeaa)DE-He213 Quota-share reinsurance (dpeaa)DE-He213 Excess of loss reinsurance (dpeaa)DE-He213 Guo, Junyi aut Enthalten in Journal of applied mathematics and computing Berlin : Springer, 2006 36(2010), 1-2 vom: 11. Feb., Seite 11-25 (DE-627)565516833 (DE-600)2424171-4 1865-2085 nnns volume:36 year:2010 number:1-2 day:11 month:02 pages:11-25 https://dx.doi.org/10.1007/s12190-010-0385-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_165 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 36 2010 1-2 11 02 11-25 |
| spelling |
10.1007/s12190-010-0385-8 doi (DE-627)SPR025149970 (SPR)s12190-010-0385-8-e DE-627 ger DE-627 rakwb eng Liang, Zhibin verfasserin aut Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility 2010 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Korean Society for Computational and Applied Mathematics 2010 Abstract In this paper, from an insurer’s point of view, we consider the optimal combining quota-share and excess of loss reinsurance to maximize the expected exponential utility from terminal wealth. By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the closed form expressions of the optimal strategies and value function not only for the diffusion approximation risk model but also for the jump-diffusion risk model. We also conclude that, under some conditions, there exists a pure excess of loss reinsurance strategy which is better than any combinational reinsurance strategy. Expected utility (dpeaa)DE-He213 Diffusion approximation (dpeaa)DE-He213 Compound Poisson process (dpeaa)DE-He213 Hamilton-Jacobi-Bellman equation (dpeaa)DE-He213 Quota-share reinsurance (dpeaa)DE-He213 Excess of loss reinsurance (dpeaa)DE-He213 Guo, Junyi aut Enthalten in Journal of applied mathematics and computing Berlin : Springer, 2006 36(2010), 1-2 vom: 11. Feb., Seite 11-25 (DE-627)565516833 (DE-600)2424171-4 1865-2085 nnns volume:36 year:2010 number:1-2 day:11 month:02 pages:11-25 https://dx.doi.org/10.1007/s12190-010-0385-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_165 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 36 2010 1-2 11 02 11-25 |
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10.1007/s12190-010-0385-8 doi (DE-627)SPR025149970 (SPR)s12190-010-0385-8-e DE-627 ger DE-627 rakwb eng Liang, Zhibin verfasserin aut Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility 2010 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Korean Society for Computational and Applied Mathematics 2010 Abstract In this paper, from an insurer’s point of view, we consider the optimal combining quota-share and excess of loss reinsurance to maximize the expected exponential utility from terminal wealth. By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the closed form expressions of the optimal strategies and value function not only for the diffusion approximation risk model but also for the jump-diffusion risk model. We also conclude that, under some conditions, there exists a pure excess of loss reinsurance strategy which is better than any combinational reinsurance strategy. Expected utility (dpeaa)DE-He213 Diffusion approximation (dpeaa)DE-He213 Compound Poisson process (dpeaa)DE-He213 Hamilton-Jacobi-Bellman equation (dpeaa)DE-He213 Quota-share reinsurance (dpeaa)DE-He213 Excess of loss reinsurance (dpeaa)DE-He213 Guo, Junyi aut Enthalten in Journal of applied mathematics and computing Berlin : Springer, 2006 36(2010), 1-2 vom: 11. Feb., Seite 11-25 (DE-627)565516833 (DE-600)2424171-4 1865-2085 nnns volume:36 year:2010 number:1-2 day:11 month:02 pages:11-25 https://dx.doi.org/10.1007/s12190-010-0385-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_165 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 36 2010 1-2 11 02 11-25 |
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10.1007/s12190-010-0385-8 doi (DE-627)SPR025149970 (SPR)s12190-010-0385-8-e DE-627 ger DE-627 rakwb eng Liang, Zhibin verfasserin aut Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility 2010 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Korean Society for Computational and Applied Mathematics 2010 Abstract In this paper, from an insurer’s point of view, we consider the optimal combining quota-share and excess of loss reinsurance to maximize the expected exponential utility from terminal wealth. By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the closed form expressions of the optimal strategies and value function not only for the diffusion approximation risk model but also for the jump-diffusion risk model. We also conclude that, under some conditions, there exists a pure excess of loss reinsurance strategy which is better than any combinational reinsurance strategy. Expected utility (dpeaa)DE-He213 Diffusion approximation (dpeaa)DE-He213 Compound Poisson process (dpeaa)DE-He213 Hamilton-Jacobi-Bellman equation (dpeaa)DE-He213 Quota-share reinsurance (dpeaa)DE-He213 Excess of loss reinsurance (dpeaa)DE-He213 Guo, Junyi aut Enthalten in Journal of applied mathematics and computing Berlin : Springer, 2006 36(2010), 1-2 vom: 11. Feb., Seite 11-25 (DE-627)565516833 (DE-600)2424171-4 1865-2085 nnns volume:36 year:2010 number:1-2 day:11 month:02 pages:11-25 https://dx.doi.org/10.1007/s12190-010-0385-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_165 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 36 2010 1-2 11 02 11-25 |
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Liang, Zhibin @@aut@@ Guo, Junyi @@aut@@ |
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Liang, Zhibin misc Expected utility misc Diffusion approximation misc Compound Poisson process misc Hamilton-Jacobi-Bellman equation misc Quota-share reinsurance misc Excess of loss reinsurance Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility |
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Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility Expected utility (dpeaa)DE-He213 Diffusion approximation (dpeaa)DE-He213 Compound Poisson process (dpeaa)DE-He213 Hamilton-Jacobi-Bellman equation (dpeaa)DE-He213 Quota-share reinsurance (dpeaa)DE-He213 Excess of loss reinsurance (dpeaa)DE-He213 |
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optimal combining quota-share and excess of loss reinsurance to maximize the expected utility |
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Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility |
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Abstract In this paper, from an insurer’s point of view, we consider the optimal combining quota-share and excess of loss reinsurance to maximize the expected exponential utility from terminal wealth. By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the closed form expressions of the optimal strategies and value function not only for the diffusion approximation risk model but also for the jump-diffusion risk model. We also conclude that, under some conditions, there exists a pure excess of loss reinsurance strategy which is better than any combinational reinsurance strategy. © Korean Society for Computational and Applied Mathematics 2010 |
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Abstract In this paper, from an insurer’s point of view, we consider the optimal combining quota-share and excess of loss reinsurance to maximize the expected exponential utility from terminal wealth. By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the closed form expressions of the optimal strategies and value function not only for the diffusion approximation risk model but also for the jump-diffusion risk model. We also conclude that, under some conditions, there exists a pure excess of loss reinsurance strategy which is better than any combinational reinsurance strategy. © Korean Society for Computational and Applied Mathematics 2010 |
| abstract_unstemmed |
Abstract In this paper, from an insurer’s point of view, we consider the optimal combining quota-share and excess of loss reinsurance to maximize the expected exponential utility from terminal wealth. By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the closed form expressions of the optimal strategies and value function not only for the diffusion approximation risk model but also for the jump-diffusion risk model. We also conclude that, under some conditions, there exists a pure excess of loss reinsurance strategy which is better than any combinational reinsurance strategy. © Korean Society for Computational and Applied Mathematics 2010 |
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Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility |
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By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the closed form expressions of the optimal strategies and value function not only for the diffusion approximation risk model but also for the jump-diffusion risk model. 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