Optimal Dynamic XL Reinsurance

Christian Hipp and Michael Vogt

ASTIN Bulletin, 2003, vol. 33, issue 2, 193-207

Abstract: We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a verification theorem. Numerical examples with exponential, shifted exponential, and Pareto claims are given.

Date: 2003
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