Optimal Proportional Reinsurance Policies in a Dynamic Setting

2001278 citationsJournal Article

Authors

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.

Topics & Keywords

Probability and Risk Models Insurance, Mortality, Demography, Risk Management Stochastic processes and financial applications

Publication Details

Published in: Scandinavian Actuarial Journal

Volume 2001, Issue 1, pp. 55-68

DOI: 10.1080/034612301750077338

Field-Weighted Citation Impact: 11.46

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Optimal Proportional Reinsurance Policies in a Dynamic Setting

Authors

Abstract

Topics & Keywords

Publication Details