Optimal insurance risk control with multiple reinsurers

Hui Meng*, Tak Kuen Siu, Hailiang Yang

*Corresponding author for this work

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

An optimal insurance risk control problem is discussed in a general situation where several reinsurance companies enter into a reinsurance treaty with an insurance company. These reinsurance companies adopt variance premium principles with different parameters. Dividends with fixed costs and taxes are paid to shareholders of the insurance company. Under certain conditions, a combined proportional reinsurance treaty is shown to be optimal in a class of plausible reinsurance treaties. Within the class of combined proportional reinsurance strategies, analytical expressions for the value function and the optimal strategies are obtained.

Original languageEnglish
Pages (from-to)40-52
Number of pages13
JournalJournal of Computational and Applied Mathematics
Volume306
DOIs
Publication statusPublished - Nov 2016

Keywords

  • variance premium principle
  • reinsurance strategy
  • multiple reinsurers
  • fixed costs
  • taxes
  • HJB equation

Fingerprint Dive into the research topics of 'Optimal insurance risk control with multiple reinsurers'. Together they form a unique fingerprint.

Cite this