Optimal Proportional Reinsurance Policies in a Dynamic Setting

Hanspeter Schmidli

Scandinavian Actuarial Journal, 2001, vol. 2001, issue 1, 55-68

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.

Date: 2001
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DOI: 10.1080/034612301750077338

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