Optimum excess-loss reinsurance: A dynamic framework

DOI10.1016/0304-4149(81)90013-2zbMath0469.60070OpenAlexW2039706797MaRDI QIDQ1157080

Dror Zuckerman, Charles S. Tapiero

Publication date: 1981

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(81)90013-2

zbMATH Keywords

Stackelberg solutiondiffusion approximationreinsurancecollective risk theoryloading factorexcess-loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Diffusion processes (60J60)

Related Items (4)

Joint insurance and capitalization costs ⋮ Premium valuation in international insurance ⋮ Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions ⋮ Optimal investment policy of an insurance firm

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Ruin problems with compounding assets
• Optimal control of a Brownian storage system
• Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• Optimal reinsurance
• Diffusion approximations in collective risk theory
• Diffusion approximations and models for certain congestion problems

This page was built for publication: Optimum excess-loss reinsurance: A dynamic framework