Optimal Proportional Reinsurance Policies For Levy Markets With Costs

From the point of view of the first insurer we determine the ideal proportion of an insurance policy in a Levy market to be re insured and the expected value attained using Stochastic control (Dynamic programming). A Levy process is used to model the reserves of the insurer given that a re insurance policy has been implemented as a means of risk transfer. For completeness the results are analytically and graphically compared with those of a diffusion model with the aid of Matlab. Financial mathematicians actuaries and insurers would find this book useful. A background in stochastic differential equations will make understanding easier.