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Journal of Shanghai University（Natural Science Edition）

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Optimal XL Reinsurance Using Mean-Variance Premium Principle

WANG Ai-xiang，QIN Cheng-lin   

  1. School of Sciences, Shanghai University, Shanghai 200444, China
  • Received:2005-05-17 Revised:1900-01-01 Online:1900-01-01 Published:1900-01-01
  • Contact: QIN Cheng-lin

Cited

8

Abstract:

The optimal dynamic unlimited excess of loss reinsurance using the meanvariance premium principle is studied. Following Hipp's theory, a corresponding HamiltonJacobiBellman equation is obtained to minimize the ruin probability, and existence and optimality of the solution is proved.

Key words: HJB equation, mean-variance premium principle, ruin probability, verification theorem., XL reinsurance