On Minimizing the Ultimate Ruin Probability of an Insurer by Reinsurance
We consider an insurance company whose reserves dynamics follow a diffusion-perturbed risk model. To reduce its risk, the company chooses to reinsure using proportional or excess-of-loss reinsurance. Using the Hamilton-Jacobi-Bellman (HJB) approach, we derive a second-order Volterra integrodifferent...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2018-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2018/9180780 |