Abstract
This paper considers the problem about optimization of proportional reinsurance in the setting of diffusion models. The authors take into account non-cheap proportional reinsurance and bankruptcy value simultaneously. The objective is to find the risk control policies which maximize the total discounted reserve and the bankruptcy value. Results show that, the optimal risk control policies and corresponding optimal return functions vary, depending both on the range of bankruptcy value and the relationship between the premium rate of insurance and that of reinsurance.
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This research is supported by the 973 Project of MOSTC (China) and the Research Fund for the Doctorial Program of Higher Education (China).
This paper was recommended for publication by Editor Dexing FENG.
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Wu, M., Wu, R. & Zhou, A. Optimal risk control policies for diffusion models with non-cheap proportional reinsurance and bankruptcy value. J Syst Sci Complex 24, 892–906 (2011). https://doi.org/10.1007/s11424-011-9180-3
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DOI: https://doi.org/10.1007/s11424-011-9180-3