## Abstract

This note revisits the problem discussed in Meng et al. (2016) where an optimal insurance

risk control problem was considered in a diffusion approximation model with multiple

reinsurers adopting variance premium principles. It was shown in Meng et al. (2016)

that under a certain technical condition, a combined proportional reinsurance treaty is

an optimal form in a class of plausible reinsurance treaties. From both theoretical and

practical perspectives, an interesting question may be whether the combined proportional

reinsurance treaty is still an optimal form in a quite considerably larger class of plausible

reinsurance treaties. This note addresses this question and shows that a combined

proportional reinsurance treaty is still an optimal form.

risk control problem was considered in a diffusion approximation model with multiple

reinsurers adopting variance premium principles. It was shown in Meng et al. (2016)

that under a certain technical condition, a combined proportional reinsurance treaty is

an optimal form in a class of plausible reinsurance treaties. From both theoretical and

practical perspectives, an interesting question may be whether the combined proportional

reinsurance treaty is still an optimal form in a quite considerably larger class of plausible

reinsurance treaties. This note addresses this question and shows that a combined

proportional reinsurance treaty is still an optimal form.

Original language | English |
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Pages (from-to) | 38-42 |

Journal | Journal of Computational and Applied Mathematics |

Volume | 319 |

DOIs | |

Publication status | Published - 2017 |

Externally published | Yes |