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Optimal Proportional Reinsurance Policies in a Dynamic Setting

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  • Hanspeter Schmidli

Abstract

We consider dynamic proportional reinsurance strategies and derive the optimal strategies in a diffusion setup and a classical risk model. Optimal is meant in the sense of minimizing the ruin probability. Two basic examples are discussed.

Suggested Citation

  • Hanspeter Schmidli, 2001. "Optimal Proportional Reinsurance Policies in a Dynamic Setting," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2001(1), pages 55-68.
    • Handle: RePEc:taf:sactxx:v:2001:y:2001:i:1:p:55-68
    DOI: 10.1080/034612301750077338
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    Cited by:

    1. Bo, Lijun & Wang, Shihua & Zhou, Chao, 2024. "A mean field game approach to optimal investment and risk control for competitive insurers," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 202-217.
    2. Zongxia Liang & Yi Xia & Bin Zou, 2024. "A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition," Papers 2405.06235, arXiv.org, revised Sep 2024.
    3. Aleksandar Arandjelovi'c & Julia Eisenberg, 2024. "Reinsurance with neural networks," Papers 2408.06168, arXiv.org.
    4. Fan Wu & Yang Shen & Xin Zhang & Kai Ding, 2024. "Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model," Journal of Optimization Theory and Applications, Springer, vol. 201(3), pages 1229-1255, June.
    5. Haiying Zhou & Huainian Zhu, 2024. "Optimal Reinsurance and Derivative-Based Investment Decisions for Insurers with Mean-Variance Preference," Mathematics, MDPI, vol. 12(13), pages 1-20, June.

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