Faculty Publications
Stochastic Pareto-Optimal Reinsurance Policies
Document Type
Article
Keywords
Cooperation game, Pareto-optimal, Reinsurance, Stochastic optimal control
Journal/Book/Conference Title
Insurance: Mathematics and Economics
Volume
53
Issue
3
First Page
671
Last Page
677
Abstract
We model reinsurance as a stochastic cooperation game in a continuous-time framework. Employing stochastic control theory and dynamic programming techniques, we study Pareto-optimal solutions to the game and derive the corresponding Hamilton-Jacobi-Bellman (HJB) equation. After analyzing the HJB equation, we show that the Pareto-optimal policies may be classified into either unlimited excess of loss functions or proportional functions based on different premium share principles. To illustrate our results, we solve several examples for explicit solutions. © 2013 Elsevier B.V.
Department
Department of Mathematics
Original Publication Date
11-1-2013
DOI of published version
10.1016/j.insmatheco.2013.09.006
Recommended Citation
Zeng, Xudong and Luo, Shangzhen, "Stochastic Pareto-Optimal Reinsurance Policies" (2013). Faculty Publications. 1543.
https://scholarworks.uni.edu/facpub/1543