%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