Stabilised surplus and profits through reinsurance based on drawdown optimisation

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<title>Stabilised surplus and profits through reinsurance based on drawdown optimisation</title>
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<namePart>Schmidli, Hanspeter</namePart>
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<abstract displayLabel="Summary">The article analyzes a stochastic control problem applied to insurance, focused on the simultaneous optimization of surplus growth and the limitation of drawdowns through proportional reinsurance. A continuous diffusion model is formulated in which profit incentives are combined with penalties for the time spent in situations of excessive drawdown. The authors explicitly characterize the optimal strategies by solving HamiltonJacobiBellman equations with reflection conditions. The study demonstrates the existence and optimality of feedback strategies and examines different regimes depending on the cost of reinsurance. Numerical examples are included to illustrate the economic impact of the optimal strategies</abstract>
<note type="statement of responsibility">Leonie Violetta Brinker and Hanspeter Schmidli</note>
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<topic>Reaseguros proporcionales</topic>
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<topic>Modelo estocástico</topic>
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<topic>Control estocástico</topic>
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<topic>Excedentes</topic>
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<topic>Cálculo actuarial</topic>
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<topic>Gerencia de riesgos</topic>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>13/04/2026 Número 16 issue 1 - abril 2026 , 40 p.</text>
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