Optimal control and sensitivity analysis for insurance model with bank loans and reinsurance

A periodic-review insurance model is considered under the following assumptions. We suppose that for stabilization of its performance the company uses reinsurance and capital injections. Our aim is to establish the reinsurance treaty of stop-loss type in order to minimize additional costs entailed by banks loans. Moreover, the modification of Sobol decomposition is carried out to study model stability to fluctuations of parameters.