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Inventi Rapid - Microfinance & Banking

Articles

  • Inventi:mmb/17881/15
    DYNAMIC OPTIMIZATION OF AN INSURER'S AND A REINSURER'S INVESTMENT RETURNS UNDER PROPORTIONAL REINSURANCE
    Silas A Ihedioha*

    This work assumed that an insurer’s and a reinsurer’s surplus processes were approximated by Brownian motion with drift and the insurer can purchase proportional reinsurance from the reinsurer and tackled their optimal portfolio selection problem. It was further assumed that the risk reserves of the insurer and the reinsurer followed Brownian motion with drift. Both the insurer and the reinsurer were allowed to invest in one risky and one risk-free, assets. By solving the corresponding Hamilton-Jacobi-Bellman (HJB) equations Obtained the optimized values of the insurer and the reinsurer wealth, their optimal investments in the risky asset and the probability of survival by both of them. The discount value, ϕ, that would warrant reinsurance, according to the optimal reinsurance proportion chosen by the insurer was also calculated.

    How to Cite this Article
    Silas A Ihedioha. Dynamic Optimization of an Insurer's and a Reinsurer's Investment Returns under Proportional Reinsurance. Inventi Rapid: Microfinance & Banking, 2016(1):1-11, 2015.
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