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Article: Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion
Title | Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion |
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Authors | |
Keywords | Common shock compound poisson process mean-variance utility Hamilton-Jacobi-Bellman equation proportional reinsurance |
Issue Date | 2019 |
Publisher | World Scientific Publishing Co. Pte. Ltd. The Journal's web site is located at http://www.worldscientific.com/jfe |
Citation | International Journal of Financial Engineering, 2019, v. 6 n. 1, p. article no. 1950004 How to Cite? |
Abstract | This paper studies an optimal dynamic proportional reinsurance in a risk model with two dependent classes of insurance business. Under the criterion of maximizing the mean-variance utility of the terminal wealth with state-dependent risk aversion, we formulate the time-inconsistent problem within a game theoretic framework. By the technique of stochastic control theory, explicit expressions of the optimal results are derived not only for diffusion risk model but also for compound Poisson risk model. Furthermore, the similar problem with constant risk aversion is studied as well. Finally, some numerical examples are presented to show the impact of model parameters on the optimal strategies for both compound Poisson and diffusion cases. |
Persistent Identifier | http://hdl.handle.net/10722/271287 |
ISSN | |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Zhang, C | - |
dc.contributor.author | Liang, Z | - |
dc.contributor.author | Yuen, KC | - |
dc.date.accessioned | 2019-06-24T01:06:59Z | - |
dc.date.available | 2019-06-24T01:06:59Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | International Journal of Financial Engineering, 2019, v. 6 n. 1, p. article no. 1950004 | - |
dc.identifier.issn | 2345-7686 | - |
dc.identifier.uri | http://hdl.handle.net/10722/271287 | - |
dc.description.abstract | This paper studies an optimal dynamic proportional reinsurance in a risk model with two dependent classes of insurance business. Under the criterion of maximizing the mean-variance utility of the terminal wealth with state-dependent risk aversion, we formulate the time-inconsistent problem within a game theoretic framework. By the technique of stochastic control theory, explicit expressions of the optimal results are derived not only for diffusion risk model but also for compound Poisson risk model. Furthermore, the similar problem with constant risk aversion is studied as well. Finally, some numerical examples are presented to show the impact of model parameters on the optimal strategies for both compound Poisson and diffusion cases. | - |
dc.language | eng | - |
dc.publisher | World Scientific Publishing Co. Pte. Ltd. The Journal's web site is located at http://www.worldscientific.com/jfe | - |
dc.relation.ispartof | International Journal of Financial Engineering | - |
dc.rights | For preprints : Preprint of an article published in [Journal, Volume, Issue, Year, Pages] [Article DOI] © [copyright World Scientific Publishing Company] [Journal URL] For postprints : Electronic version of an article published as [Journal, Volume, Issue, Year, Pages] [Article DOI] © [copyright World Scientific Publishing Company] [Journal URL] | - |
dc.subject | Common shock | - |
dc.subject | compound poisson process | - |
dc.subject | mean-variance utility | - |
dc.subject | Hamilton-Jacobi-Bellman equation | - |
dc.subject | proportional reinsurance | - |
dc.title | Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion | - |
dc.type | Article | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1142/S242478631950004X | - |
dc.identifier.hkuros | 298126 | - |
dc.identifier.volume | 6 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | article no. 1950004 | - |
dc.identifier.epage | article no. 1950004 | - |
dc.identifier.isi | WOS:000463415900004 | - |
dc.publisher.place | Singapore | - |
dc.identifier.issnl | 2345-7686 | - |