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 JMF  Vol.3 No.2 , May 2013
Mixed Band Control of Mutual Proportional Reinsurance
Abstract: In this paper, we investigate the optimization of mutual proportional reinsurance—a mutual reserve system that is in- tended for the collective reinsurance needs of homogeneous mutual members, such as P&I Clubs in marine mutual in- surance and reserve banks in the US Federal Reserve, where a mutual member is both an insurer and an insured. Compared to general (non-mutual) insurance models, which involve one-sided impulse control (i.e., either downside or upside impulse) of the underlying insurance reserve process that is required to be positive, a mutual insurance differs in allowing two-sided impulse control (i.e., both downside and upside impulse), coupled with the classical proportional control of reinsurance. We prove that a special band-type impulse control (a, A, B, b) with a=0 and a
Cite this paper: M. Taksar, J. Liu and J. Yuan, "Mixed Band Control of Mutual Proportional Reinsurance," Journal of Mathematical Finance, Vol. 3 No. 2, 2013, pp. 256-267. doi: 10.4236/jmf.2013.32025.
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