%0 Journal Article
%T Dynamic Reinsurance Strategy
%A Miwaka Yamashita
%J Journal of Mathematical Finance
%P 284-303
%@ 2162-2442
%D 2023
%I Scientific Research Publishing
%R 10.4236/jmf.2023.133018
%X In this paper, I consider insurers¡¯ reinsurance strategies to find an optimal reinsurance cover ratio for underwritten insurance exposure. First, I describe the one-period model and the continuous time dynamic model by stochastic differential equation in the same structure. Second, I translate the one-period model solution, where VaR is used as a risk measure (a target function to minimize), into the kinked CRRA utility dynamic model for a reinsurance strategy. Numerical simulations are also performed. I show that the reinsurance premium buffer divided by the variance of underwritten risk and divided by the insurer¡¯s risk averseness indicates the optimal ratio of how much risk should be mitigated by reinsurance.
%K Reinsurance
%K Stochastic Process
%K Optimal Dynamic Strategy
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=126888