Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility

被引：25

作者：

Liang Z. ^{[1
]}

Guo J. ^{[2
]}

机构：

[1] School of Mathematical Sciences, Nanjing Normal University

[2] School of Mathematical Sciences, Nankai University

来源：

Journal of Applied Mathematics and Computing | 2011年 / 36卷 / 1-2期

基金：

中国国家自然科学基金;

关键词：

Compound Poisson process; Diffusion approximation; Excess of loss reinsurance; Expected utility; Hamilton-Jacobi-Bellman equation; Quota-share reinsurance;

D O I：

10.1007/s12190-010-0385-8

中图分类号：

学科分类号：

摘要：

In this paper, from an insurer's point of view, we consider the optimal combining quota-share and excess of loss reinsurance to maximize the expected exponential utility from terminal wealth. By stochastic control theory and the corresponding Hamilton-Jacobi-Bellman equation, we derive the closed form expressions of the optimal strategies and value function not only for the diffusion approximation risk model but also for the jump-diffusion risk model. We also conclude that, under some conditions, there exists a pure excess of loss reinsurance strategy which is better than any combinational reinsurance strategy. © 2010 Korean Society for Computational and Applied Mathematics.

引用

页码：11 / 25

页数：14

共 24 条

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