Equilibrium in a Reinsurance Dynamic Risk Setting: Optimal Portfolio Selection

• Published in: Lobachevskii journal of mathematics Vol. 45; no. 12; pp. 6244 - 6258
• Main Authors: Bazyari, Abouzar, Hosseinzadeh, Hossein
• Format: Journal Article
• Language: English
• Published: Moscow Pleiades Publishing 01.12.2024; Springer Nature B.V
• Subjects: Algebra; Analysis; Bellman theory; Dynamic programming; Geometry; Insurance; Insurance (contracts); Mathematical Logic and Foundations; Mathematics; Mathematics and Statistics; Optimization; Probability Theory and Stochastic Processes; Reinsurance; Risk; optimization problem; 2010 Mathematics Subject Classification: Primary 62P05; Secondary 91B05; Girsanov’s theorem; risk retention level; diffusion approximation process; standard Brownian motion

This paper considers the equilibrium in a reinsurance dynamic risk setting to have the optimal portfolio selection for the insurer and reinsurance in a fixed term insurance contract which consists of reinsurance price and risk retention level. The risk process is assumed to be a diffusion approximat...