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Article: Optimal insurance risk control with multiple reinsurers
Title | Optimal insurance risk control with multiple reinsurers |
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Authors | |
Keywords | Fixed costs HJB equation Multiple reinsurers Reinsurance strategy Taxes Variance premium principle |
Issue Date | 2016 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam |
Citation | Journal of Computational and Applied Mathematics, 2016, v. 306, p. 40-52 How to Cite? |
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. |
Persistent Identifier | http://hdl.handle.net/10722/235775 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.858 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Meng, H | - |
dc.contributor.author | Siu, TK | - |
dc.contributor.author | Yang, H | - |
dc.date.accessioned | 2016-10-20T02:08:43Z | - |
dc.date.available | 2016-10-20T02:08:43Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Journal of Computational and Applied Mathematics, 2016, v. 306, p. 40-52 | - |
dc.identifier.issn | 0377-0427 | - |
dc.identifier.uri | http://hdl.handle.net/10722/235775 | - |
dc.description.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. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam | - |
dc.relation.ispartof | Journal of Computational and Applied Mathematics | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Fixed costs | - |
dc.subject | HJB equation | - |
dc.subject | Multiple reinsurers | - |
dc.subject | Reinsurance strategy | - |
dc.subject | Taxes | - |
dc.subject | Variance premium principle | - |
dc.title | Optimal insurance risk control with multiple reinsurers | - |
dc.type | Article | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.cam.2016.04.005 | - |
dc.identifier.scopus | eid_2-s2.0-84964681631 | - |
dc.identifier.hkuros | 278218 | - |
dc.identifier.volume | 306 | - |
dc.identifier.spage | 40 | - |
dc.identifier.epage | 52 | - |
dc.identifier.isi | WOS:000378459500003 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0377-0427 | - |