Stochastic Pareto-optimal reinsurance policies

Xudong Zeng and Shangzhen Luo

Insurance: Mathematics and Economics, 2013, vol. 53, issue 3, 671-677

Abstract: We model reinsurance as a stochastic cooperation game in a continuous-time framework. Employing stochastic control theory and dynamic programming techniques, we study Pareto-optimal solutions to the game and derive the corresponding Hamilton–Jacobi–Bellman (HJB) equation. After analyzing the HJB equation, we show that the Pareto-optimal policies may be classified into either unlimited excess of loss functions or proportional functions based on different premium share principles. To illustrate our results, we solve several examples for explicit solutions.

Keywords: Pareto-optimal; Cooperation game; Reinsurance; Stochastic optimal control (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:3:p:671-677

DOI: 10.1016/j.insmatheco.2013.09.006

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