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- W4366090908 abstract "In this paper, we solve an optimal reinsurance problem in the mathematical finance area. We assume that the surplus process of the insurance company follows a controlled diffusion process and the constant interest rate is involved in the financial model. During the whole optimization period, the company has a choice to buy reinsurance contract and decide the reinsurance retention level. Meanwhile, the bankruptcy at the terminal time is not allowed. The aim of the optimization problem is to minimize the distance between the terminal wealth and a given goal by controlling the reinsurance proportion. Using the stochastic control theory, we derive the Hamilton-Jacobi-Bellman equation for the optimization problem. Via adopting the technique of changing variable as well as the dual transformation, an explicit solution of the value function and the optimal policy are shown. Finally, several numerical examples are shown, from which we find several main factors that affect the optimal reinsurance policy." @default.
- W4366090908 created "2023-04-19" @default.
- W4366090908 creator A5075704161 @default.
- W4366090908 creator A5082762876 @default.
- W4366090908 date "2023-04-16" @default.
- W4366090908 modified "2023-09-29" @default.
- W4366090908 title "Reinsurance Policy under Interest Force and Bankruptcy Prohibition" @default.
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- W4366090908 doi "https://doi.org/10.3390/axioms12040378" @default.
- W4366090908 hasPublicationYear "2023" @default.
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