NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
The 58th Japan National Congress for Theoretical and Applied Mechanics
Session ID : 2D20
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OS19
A note on optimal strategy for an insurance company under reinsurance contract
Hiroaki Tanaka*Kosuke Koyama
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Abstract
In this paper, we discuss an optimal strategy of an insurance company based upon the stochastic control theory under the condition that the insurance company can transfer own risk to a reinsurance company through a reinsurance contract. Supposing that the insurance company can dynamically control the reinsurance ratio, we derive the Hamilton-Jacobi-Bellman (HJB) equation descibing the optimal strategy, where the temporal variation of a wealth of the insurance company is supposed to obey a stochastic model driven by a compound Poisson process. Finally, we examine the optimal strategy through numerical solution of the HJB equation.
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© 2009 Japan Society of Civil Engineers
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