Reinsurance and ruin
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Publication:1381143
DOI10.1016/S0167-6687(96)00011-XzbMath0894.62110OpenAlexW1994990485MaRDI QIDQ1381143
Howard R. Waters, David C. M. Dickson
Publication date: 4 May 1998
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(96)00011-x
Related Items (21)
Chaotic and predictable representations for Lévy processes. ⋮ Excess of loss reinsurance under joint survival optimality ⋮ Optimal risk control policies for diffusion models with non-cheap proportional reinsurance and bankruptcy value ⋮ Optimal lower barrier on modified surplus process ⋮ Minimization of ruin probability with joint strategies of investment and reinsurance ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance ⋮ Discrete-time insurance model with capital injections and reinsurance ⋮ A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts ⋮ The optimal reinsurance strategy -- the individual claim case ⋮ Excess of loss reinsurance with reinstatements: premium calculation and ruin probability of the cedent ⋮ Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium ⋮ On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability ⋮ Survival probabilities in bivariate risk models, with application to reinsurance ⋮ An application in stochastics of the Laguerre-type polynomials ⋮ Optimal reinsurance via Dirac-Feynman approach ⋮ Review of statistical actuarial risk modelling ⋮ Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach ⋮ Optimal proportional reinsurance policies for diffusion models with transaction costs ⋮ On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance ⋮ Optimal retention levels, given the joint survival of cedent and reinsurer
Cites Work
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- Measuring the effects of reinsurance by the adjustment coefficient
- Recursive calculation of finite-time ruin probabilities
- On the distribution of the surplus prior to ruin
- Some mathematical aspects of reinsurance
- Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
- An insight into the excess of loss retention limit
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