Geodesic
Reinsurance optimal strategy of a loss excess
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 4 (2011), pp. 17-22

Voir la notice de l'article provenant de la source Math-Net.Ru

Dynamic programming technique is applied to find the optimal strategy for the dynamic XL reinsurance. We consider a risk process modelled by a compound Poisson process and the excess of loss reinsurance determined by the retention level and layer. We find the optimal survival probability as a solution to corresponding HJB equation and show the existence of the optimal reinsurance strategy. Numerical examples in the case of exponentially, log-normally, and Pareto distributed claims are presented. 
@article{VMUMM_2011_4_a2,
     author = {A. N. Gromov},
     title = {Reinsurance optimal strategy of a loss excess},
     journal = {Vestnik Moskovskogo universiteta. Matematika, mehanika},
     pages = {17--22},
     publisher = {mathdoc},
     number = {4},
     year = {2011},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VMUMM_2011_4_a2/}
}
TY  - JOUR
AU  - A. N. Gromov
TI  - Reinsurance optimal strategy of a loss excess
JO  - Vestnik Moskovskogo universiteta. Matematika, mehanika
PY  - 2011
SP  - 17
EP  - 22
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/VMUMM_2011_4_a2/
LA  - ru
ID  - VMUMM_2011_4_a2
ER  - 
%0 Journal Article
%A A. N. Gromov
%T Reinsurance optimal strategy of a loss excess
%J Vestnik Moskovskogo universiteta. Matematika, mehanika
%D 2011
%P 17-22
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/VMUMM_2011_4_a2/
%G ru
%F VMUMM_2011_4_a2
A. N. Gromov. Reinsurance optimal strategy of a loss excess. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 4 (2011), pp. 17-22. http://geodesic.mathdoc.fr/item/VMUMM_2011_4_a2/