Dynamic stochastic control of an insurance Dynamic stochastic control of an insurance business

Soeren Asmussen

Department of Mathematical Statistics, Lund Institute of Technology, Lund University, Sweden (asmus@maths.lth.se)

Abstract

Large parts of classical insurance mathematics takes a static point of view, assuming that parameters such as premiums, dividend payments, retention limits in reinsurance etc. are fixed once and forever. However, obviously the insurance company wants to do some adaptive adjustment. For example, if the reserve is large (and so the risk small) it may want to lower the premiums to attract more customers and to do less reinsurance to avoid the associated costs.

We consider such dynamic strategies in the setting of controlled diffusion models. The aim is to find the strategy which is optimal in the sense of maximizing some reward function, say the total infinite horizon discounted dividend pay-out. Particular attention is given to reinsurance (proportional and excess-of-loss)

The presentation is based upon a research project to which contributions have been made by B. Hø jgaard, M. Taksar and the speaker in various combinations.


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On 10 May 1999, 03:37.