Starting from systematic view,the paper integrates compensations that insuers will be up against with its return on investment and establishes linear forward-backward stochastic differential equations for proportional and excess-of-loss reinsurance premiums.
Using this method ,this paper first analyzes the option property of excess-of-loss reinsurance,and evaluates it by option pricing technique,then in a dynamic game theory model with complete information analyzes the optimal strategies of both o-riginal insurer and reinsurer as well as the equilibrium result,thus we give the optimal excess-of-loss reinsurance under the conditions of no arbitrage.
The optimal dynamic unlimited excess of loss reinsurance using the mean-variance premium principle is studied. Following Hipp's theory,a corresponding Hamilton-Jacobi-Bellman equation is obtained to minimize the ruin probability,and existence and optimality of the solution is proved.
The writer built three models, a complete information dynamic model of Sum Insured Reinsurance and two models of Loss Reinsurance Sum Insured Reinsurance respectively in complete and uncompleted information.
Firstly, talk about the basic concept and characteristic of classical insurance, secondly we discussed the determination of optimal retention in excess-loss reinsurance.
The paper integrates reinsurance pricing question with its return on investment from systematic view, on the assumption that investment fund follows lognormal distribution, it establishs reinsurance pricing adjustment models for proportion remsurance and excess-of-loss remsurance.
A typical application is the calculation of the ruin probability of a portfolio protected by an excess of loss reinsurance with specific clauses such as e.g.
A closer look on special types of reinsurance: Proportional, unlimited and limited excess of loss reinsurance shows different features of optimal reinsurance strategies.