Optimal combinational quota-share and excess-of-loss reinsurance policies in a dynamic setting

Xin Zhang, Ming Zhou, Junyi Guo*

*Corresponding author for this work

Research output: Contribution to journalArticle

35 Citations (Scopus)

Abstract

In this paper, we describe a large insurance company's surplus by a Brownian motion with positive drift, which is the approximation of a classical risk process. The problem of minimizing the probability of ruin by controlling the combinational quota-share and excess-of-loss reinsurance strategy is considered. We show that the optimal combinational reinsurance strategy must be the pure excess-of-loss reinsurance strategy. Moreover, we give an explicit solution for the optimal reinsurance strategy.

Original languageEnglish
Pages (from-to)63-71
Number of pages9
JournalApplied Stochastic Models in Business and Industry
Volume23
Issue number1
DOIs
Publication statusPublished - Jan 2007

Keywords

  • Combinational reinsurance strategy
  • Excess-of-loss
  • Hamilton-Jacobi-Bellman equation
  • Minimal probability of ruin
  • Quota-share

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