Artikel
Optimal excess-of-loss reinsurance for stochastic factor risk models
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed by a marked point process with dual-predictable projection affected by an environmental factor and that the insurance company can borrow and invest money at a constant real-valued risk-free interest rate r. Our model allows for stochastic risk premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton-Jacobi-Bellman equation, we analyze the optimal reinsurance strategy under the criterion of maximizing the expected exponential utility of the terminal wealth. A verification theorem for the value function in terms of classical solutions of a backward partial differential equation is provided. Finally, some numerical results are discussed.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 7 ; Year: 2019 ; Issue: 2 ; Pages: 1-23 ; Basel: MDPI
- Classification
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Wirtschaft
Insurance; Insurance Companies; Actuarial Studies
Optimization Techniques; Programming Models; Dynamic Analysis
- Subject
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optimal reinsurance
excess-of-loss reinsurance
Hamilton-Jacobi-Bellman equation
stochastic factor model
stochastic control
- Event
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Geistige Schöpfung
- (who)
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Brachetta, Matteo
Ceci, Claudia
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2019
- DOI
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doi:10.3390/risks7020048
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Brachetta, Matteo
- Ceci, Claudia
- MDPI
Time of origin
- 2019
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