
We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a verification theorem. Numerical examples with exponential, shifted exponential, and Pareto claims are given.
XL reinsurance, Risk theory, insurance, Optimal stochastic control, stochastic control, ruin probability
XL reinsurance, Risk theory, insurance, Optimal stochastic control, stochastic control, ruin probability
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