Centro de Documentacion de Fundación MAPFRE - Optimal reinsurance and investment with unobservable claim size and intensity

MAP20140017829

Optimal reinsurance and investment with unobservable claim size and intensity / Zhibin Liang, Erhan Bayraktar

Sumario: We consider the optimal reinsurance and investment problem in an unobservable Markov-modulated compound Poisson risk model, where the intensity and jump size distribution are not known but have to be inferred from the observations of claim arrivals. Using a recently developed result from filtering theory, we reduce the partially observable control problem to an equivalent problem with complete observations. Then using stochastic control theory, we get the closed form expressions of the optimal strategies which maximize the expected exponential utility of terminal wealth. In particular, we investigate the effect of the safety loading and the unobservable factors on the optimal reinsurance strategies. With the help of a generalized Hamilton-Jacobi-Bellman equation where the derivative is replaced by Clarke's generalized gradient as in Bäuerle and Rieder (2007), we characterize the value function, which helps us verify that the strategies we constructed are optimal

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/03/2014 Volumen 55 Número 1 - marzo 2014 , p. 156-166

1. Modelo de Markov . 2. Reclamaciones . 3. Reaseguro . 4. Matemática del seguro . 5. Control estocástico . I. Bayraktar, Erhan . II. Título.