Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model
type: Item
instance of: scholarly article
title: Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model
zbMATH Open document ID: 1257.91026
DOI: 10.1155/2012/802518
author: Yan Li
author: Guoxin Liu
published in: Discrete Dynamics in Nature and Society
publication date: 2013-02-21T00:00:00Z
review text: Summary: We consider the dynamic proportional reinsurance in a two-dimensional compound Poisson risk model. The optimization in the sense of minimizing the ruin probability which is defined by the sum of subportfolio is being ruined. Via the Hamilton-Jacobi-Bellman approach we find a candidate for the optimal value function and prove the verification theorem. In addition, we obtain the Lundberg bounds and the Cramér-Lundberg approximation for the ruin probability and show that as the capital tends to infinity, the optimal strategies converge to the asymptotically optimal constant strategies. The asymptotic value can be found by maximizing the adjustment coefficient.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 6137751
Wikidata QID: Q58700764
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/802518
OpenAlex ID: W2079350322
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description: scientific article; zbMATH DE number 6137751