TY - JOUR
A2 - Sun, Xiaochen
AU - Li, Yan
AU - Liu, Guoxin
PY - 2012
DA - 2012/12/26
TI - Dynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model
SP - 802518
VL - 2012
AB - 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.
SN - 1026-0226
UR - https://doi.org/10.1155/2012/802518
DO - 10.1155/2012/802518
JF - Discrete Dynamics in Nature and Society
PB - Hindawi Publishing Corporation
KW -
ER -