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Article: Optimal dynamic reinsurance with dependent risks: variance premium principle

TitleOptimal dynamic reinsurance with dependent risks: variance premium principle
Authors
Issue Date2016
PublisherTaylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp
Citation
Scandinavian Actuarial Journal, 2016, v. 2016 n. 1, p. 18-36 How to Cite?
AbstractIn this paper, we consider the optimal proportional reinsurance strategy in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. Under the criterion of maximizing the expected exponential utility with the variance premium principle, we adopt a nonstandard approach to examining the existence and uniqueness of the optimal reinsurance strategy. Using the technique of stochastic control theory, closed-form expressions for the optimal strategy and the value function are derived for the compound Poisson risk model as well as for the Brownian motion risk model. From the numerical examples, we see that the optimal results for the compound Poisson risk model are very different from those for the diffusion model. The former depends not only on the safety loading, time, and the interest rate, but also on the claim size distributions and the claim number processes, while the latter depends only on the safety loading, time, and the interest rate.
Persistent Identifierhttp://hdl.handle.net/10722/199242
ISSN
2015 Impact Factor: 1.596
2015 SCImago Journal Rankings: 0.956

 

DC FieldValueLanguage
dc.contributor.authorLiang, Z-
dc.contributor.authorYuen, KC-
dc.date.accessioned2014-07-22T01:09:56Z-
dc.date.available2014-07-22T01:09:56Z-
dc.date.issued2016-
dc.identifier.citationScandinavian Actuarial Journal, 2016, v. 2016 n. 1, p. 18-36-
dc.identifier.issn0346-1238-
dc.identifier.urihttp://hdl.handle.net/10722/199242-
dc.description.abstractIn this paper, we consider the optimal proportional reinsurance strategy in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. Under the criterion of maximizing the expected exponential utility with the variance premium principle, we adopt a nonstandard approach to examining the existence and uniqueness of the optimal reinsurance strategy. Using the technique of stochastic control theory, closed-form expressions for the optimal strategy and the value function are derived for the compound Poisson risk model as well as for the Brownian motion risk model. From the numerical examples, we see that the optimal results for the compound Poisson risk model are very different from those for the diffusion model. The former depends not only on the safety loading, time, and the interest rate, but also on the claim size distributions and the claim number processes, while the latter depends only on the safety loading, time, and the interest rate.-
dc.languageeng-
dc.publisherTaylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp-
dc.relation.ispartofScandinavian Actuarial Journal-
dc.rightsThis is an Accepted Manuscript of an article published by Taylor & Francis in Scandinavian Actuarial Journal on 07 Mar 2014, available online: http://www.tandfonline.com/doi/full/10.1080/03461238.2014.892899-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleOptimal dynamic reinsurance with dependent risks: variance premium principle-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturepostprint-
dc.identifier.doi10.1080/03461238.2014.892899-
dc.identifier.hkuros231706-
dc.identifier.volume2016-
dc.identifier.issue1-
dc.identifier.spage18-
dc.identifier.epage36-
dc.publisher.placeSweden-

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