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Conference Paper: Optimal reinsurance to minimize drawdown probability for a risk model with thinning dependence
| Title | Optimal reinsurance to minimize drawdown probability for a risk model with thinning dependence |
|---|---|
| Authors | |
| Issue Date | 2019 |
| Publisher | School of Mathematical Sciences, Dalian University of Technology. |
| Citation | The IMS-China International Conference on Statistics and Probability, Dalian, China, 6-10 July 2019 How to Cite? |
| Abstract | In this talk, we consider the optimal proportional reinsurance problem for a risk model with thinning dependence with the objective of minimizing the probability that the value of the surplus process drops below some fixed proportion of its maximum value to date which is known as the probability of drawdown. Applying stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation,
we derive the optimal reinsurance strategy and the corresponding minimum probability of drawdown not only for the expected value principle but also for the variance premium principle. For illustration purpose, some numerical examples are presented to show the impact of model parameters on the optimal results. |
| Description | Invited Sessions in Probability: IP25:Optimal control in actuarial mathematics Jointly hosted by IMS-China and Dalian University of Technology |
| Persistent Identifier | http://hdl.handle.net/10722/271515 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Yuen, KC | - |
| dc.date.accessioned | 2019-07-02T10:14:17Z | - |
| dc.date.available | 2019-07-02T10:14:17Z | - |
| dc.date.issued | 2019 | - |
| dc.identifier.citation | The IMS-China International Conference on Statistics and Probability, Dalian, China, 6-10 July 2019 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/271515 | - |
| dc.description | Invited Sessions in Probability: IP25:Optimal control in actuarial mathematics | - |
| dc.description | Jointly hosted by IMS-China and Dalian University of Technology | - |
| dc.description.abstract | In this talk, we consider the optimal proportional reinsurance problem for a risk model with thinning dependence with the objective of minimizing the probability that the value of the surplus process drops below some fixed proportion of its maximum value to date which is known as the probability of drawdown. Applying stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the optimal reinsurance strategy and the corresponding minimum probability of drawdown not only for the expected value principle but also for the variance premium principle. For illustration purpose, some numerical examples are presented to show the impact of model parameters on the optimal results. | - |
| dc.language | eng | - |
| dc.publisher | School of Mathematical Sciences, Dalian University of Technology. | - |
| dc.relation.ispartof | IMS-China International Conference on Statistics and Probability, 2019 | - |
| dc.title | Optimal reinsurance to minimize drawdown probability for a risk model with thinning dependence | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
| dc.identifier.authority | Yuen, KC=rp00836 | - |
| dc.identifier.hkuros | 298146 | - |
| dc.publisher.place | China | - |