Optimal dynamic reinsurance policies for large insurance portfolios
Optimal dynamic reinsurance policies for large insurance portfolios
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DOI：
10.1007/s007800200073
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发表时间：
2003
影响因子：
1.7
通讯作者：
M. Taksar;Charlotte Markussen
中科院分区：
文献类型：
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作者：
M. Taksar;Charlotte Markussen
我们考虑一家大型保险公司，其盈余（准备金）由布朗运动建模。公司将其盈余投资于股票市场资产，这些资产可能包含风险因素，也可能不包含风险因素。为了最大限度地降低保险风险，有可能对部分或整个保险组合进行再保险。我们考虑比例再保险的情况。存在交易成本，其表现为再保险人的安全负荷大于分保人的安全负荷。利用随机最优控制理论确定了使再保险人破产概率最小的最优再保险策略。
We consider a large insurance company whose surplus (reserve) is modeled by a Brownian motion. The company invests its surplus in stock market assets which may or may not contain an element of risk. To minimize the insurance risk there is a possibility to reinsure a part or the whole insurance portfolio. We consider the case of proportional reinsurance. There is a transaction cost, which manifests itself in the fact that the safety loading of the reinsurer is larger than that of the cedent. Stochastic optimal control theory is used to determine the optimal reinsurance policy which minimizes the ruin probability of the cedent.