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Document Details : Title: Optimal Dynamic XL Reinsurance Author(s): HIPP, Christian , VOGT, Michael Journal: ASTIN Bulletin Volume: 33 Issue: 2 Date: November 2003 Pages: 193-207 DOI: 10.2143/AST.33.2.503690 Abstract : We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a verification theorem. Numerical examples with exponential, shifted exponential, and Pareto claims are given. |