MathematicsBusinessEconomics

Optimal Proportional Reinsurance Policies in a Dynamic Setting

Hanspeter Schmidli

2001.1.1Scandinavian Actuarial Journal

DOI: 10.1080/034612301750077338

tlooto Summary

Optimal reinsurance strategies for minimizing ruin probability are derived in diffusion and classical risk models.

Abstract

We consider dynamic proportional reinsurance strategies and derive the optimal strategies in a diffusion setup and a classical risk model. Optimal is meant in the sense of minimizing the ruin probability. Two basic examples are discussed.

Citation format

SCHMIDLI, Hanspeter. Optimal proportional reinsurance policies in a dynamic setting. Scandinavian Actuarial Journal, 2001, 2001: 55–68.