The present paper addresses the issue of choosing an optimal dynamic reinsurance policy, which is state-dependent, for an insurance company that operates under multiple insurance business lines. The optimal survival function is characterized as the unique nondecreasing viscosity solution of the associated Hamilton-Jacobi-Bellman equation (HJB) equation with limit one at infinity. The finite difference method (FDM) has been utilized for the numerical solution of the optimal survival function and optimal dynamic reinsurance strategies and the proof for the convergence of the numerical solution to the survival probability function is provided.
↧