Optimization of risk bearing in a statistical model with reinsurance

DOI10.1134/S0005117909080116zbMath1194.93219MaRDI QIDQ1040542

A. I. Gazov, A. Yu. Golubin, V. N. Gridin

Publication date: 24 November 2009

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

necessary and sufficient conditions of optimalitychoice of client's risk, stop-loss insurance strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (4)

Optimal insurance and reinsurance policies chosen jointly in the individual risk model ⋮ Optimal insurance strategies in a risk process with restrictions on policyholder risks ⋮ Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model ⋮ Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital

Cites Work

• On minimizing the ruin probability by investment and reinsurance
• A convex optimization problem in the space of measures under moment constraints
• Optimal Insurance and Reinsurance Policies in the Risk Process
• Optimal Dynamic XL Reinsurance
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