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Article: Optimal insurance risk control with multiple reinsurers

TitleOptimal insurance risk control with multiple reinsurers
Authors
Meng, HSiu, TKYang, H
KeywordsFixed costs
HJB equation
Multiple reinsurers
Reinsurance strategy
Taxes
Variance premium principle
Issue Date2016
PublisherElsevier 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?
DOI: http://dx.doi.org/10.1016/j.cam.2016.04.005
AbstractAn 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 Identifierhttp://hdl.handle.net/10722/235775
ISSN
0377-0427
2021 Impact Factor: 2.872
2020 SCImago Journal Rankings: 0.876
ISI Accession Number ID
WOS:000378459500003

 

DC FieldValueLanguage
dc.contributor.authorMeng, H-
dc.contributor.authorSiu, TK-
dc.contributor.authorYang, H-
dc.date.accessioned2016-10-20T02:08:43Z-
dc.date.available2016-10-20T02:08:43Z-
dc.date.issued2016-
dc.identifier.citationJournal of Computational and Applied Mathematics, 2016, v. 306, p. 40-52-
dc.identifier.issn0377-0427-
dc.identifier.urihttp://hdl.handle.net/10722/235775-
dc.description.abstractAn 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.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam-
dc.relation.ispartofJournal of Computational and Applied Mathematics-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectFixed costs-
dc.subjectHJB equation-
dc.subjectMultiple reinsurers-
dc.subjectReinsurance strategy-
dc.subjectTaxes-
dc.subjectVariance premium principle-
dc.titleOptimal insurance risk control with multiple reinsurers-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.cam.2016.04.005-
dc.identifier.scopuseid_2-s2.0-84964681631-
dc.identifier.hkuros278218-
dc.identifier.volume306-
dc.identifier.spage40-
dc.identifier.epage52-
dc.identifier.isiWOS:000378459500003-
dc.publisher.placeNetherlands-
dc.identifier.issnl0377-0427-

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