Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Reinsurance control in a model with liabilities of the fractional Brownian motion type

Reinsurance control in a model with liabilities of the fractional Brownian motion type We propose a model for reinsurance control for an insurance firm in the case where the liabilities are driven by fractional Brownian motion, a stochastic process exhibiting long‐range dependence. The problem is transformed to a nonlinear programming problem, the solution of which provides the optimal reinsurance policy. The effect of various parameters of the model, such as the safety loading of the reinsurer and the insurer, the Hurst parameter, etc. on the optimal reinsurance program is studied in some detail. Copyright © 2007 John Wiley & Sons, Ltd. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Stochastic Models in Business and Industry Wiley

Reinsurance control in a model with liabilities of the fractional Brownian motion type

Loading next page...
 
/lp/wiley/reinsurance-control-in-a-model-with-liabilities-of-the-fractional-pE7nVn0TrD
Publisher
Wiley
Copyright
Copyright © 2007 John Wiley & Sons, Ltd.
ISSN
1524-1904
eISSN
1526-4025
DOI
10.1002/asmb.680
Publisher site
See Article on Publisher Site

Abstract

We propose a model for reinsurance control for an insurance firm in the case where the liabilities are driven by fractional Brownian motion, a stochastic process exhibiting long‐range dependence. The problem is transformed to a nonlinear programming problem, the solution of which provides the optimal reinsurance policy. The effect of various parameters of the model, such as the safety loading of the reinsurer and the insurer, the Hurst parameter, etc. on the optimal reinsurance program is studied in some detail. Copyright © 2007 John Wiley & Sons, Ltd.

Journal

Applied Stochastic Models in Business and IndustryWiley

Published: Sep 1, 2007

References