Title: Optimal risk control with non-cheap reinsurance
Language: English
Authors: Haberl, Matthias 
Qualification level: Diploma
Advisor: Gerhold, Stefan 
Issue Date: 2018
Number of Pages: 64
Qualification level: Diploma
The risk or value process of an insurance company, modelled by a Cramer-Lundberg model, is supposed to be controlled by a reinsurance share, that is a part of the risk is undertaken, but also premium has to be divided. The aim is to control this reinsurance level in way, that the discounted value of the risk process maximizes. First, the process is approximated by a diffusion process, then stochastic control theory is used to find an optimal value function and an optimal control. Non-cheap reinsurance and a bankruptcy value are also considered. In the last part of the thesis Monte-Carlo simulation is used to calculate examples and verify the solution.
Keywords: Stochastische Kontrolltheorie; Hamilton-Jacobi-Bellman-Gleichung; proportionale Rückversicherung; Monte-Carlo
Stochastic Control; Cramer-Lundberg Model; Hamilton-Jacobi-Bellman Equation; proportional Reinsurance; Bankruptcy value; Monte-Carlo Simulation
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-110248
Library ID: AC15034488
Organisation: E105 - Institut für Stochastik und Wirtschaftsmathematik 
Publication Type: Thesis
Appears in Collections:Thesis

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