Optimal investment–reinsurance policy for an insurance company with VaR constraint

This paper investigates an investment–reinsurance problem for an insurance company that has a possibility to choose among different business activities, including reinsurance/new business and security investment. Our main objective is to find the optimal policy to minimize its probability of ruin. T...

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Bibliographic Details
Published in:	Insurance, mathematics & economics Vol. 47; no. 2; pp. 144 - 153
Main Authors:	Chen, Shumin, Li, Zhongfei, Li, Kemian
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.10.2010 North Holland Publ. Co Elsevier Elsevier Sequoia S.A
Series:	Insurance: Mathematics and Economics
Subjects:	Business Companies Constraints Dynamic programming HJB equation Insurance Insurance companies Investment policy Investment-reinsurance Ruin probability Value-at-risk HJB equation Lagrangian method Investments Investment–reinsurance Lagrange multiplier Lagrangian method Mathematical economics Probability Probability theory Reinsurance Risk Risk assessment Risk management Ruin probability Stochastic control theory Studies Value-at-risk Ruin probability Investment–reinsurance Lagrangian method HJB equation Value-at-risk
ISSN:	0167-6687, 1873-5959
Online Access:	Get full text
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