Reinsurance Policy under Interest Force and Bankruptcy Prohibition
نویسندگان
چکیده
In this paper, we solve an optimal reinsurance problem in the mathematical finance area. We assume that surplus process of insurance company follows a controlled diffusion and constant interest rate is involved financial model. During whole optimization period, has choice to buy contract decide retention level. Meanwhile, bankruptcy at terminal time not allowed. The aim minimize distance between wealth given goal by controlling proportion. Using stochastic control theory, derive Hamilton-Jacobi-Bellman equation for problem. Via adopting technique changing variable as well dual transformation, explicit solution value function policy are shown. Finally, several numerical examples shown, from which find main factors affect policy.
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ژورنال
عنوان ژورنال: Axioms
سال: 2023
ISSN: ['2075-1680']
DOI: https://doi.org/10.3390/axioms12040378