Risk process with a periodic reinsurance: choosing an optimal reinsurance strategy of a total risk

DOI10.1134/S0005117917070086zbMath1373.93380OpenAlexW2736382014MaRDI QIDQ1675836

Peng Zhang

Publication date: 3 November 2017

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

Full work available at URL: https://doi.org/10.1134/s0005117917070086

zbMATH Keywords

risk processoptimal reinsurancetotal riskutility functional

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03)

Cites Work

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• Optimal non-proportional reinsurance control
• On reinsurance and investment for large insurance portfolios
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model
• Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
• Optimal Insurance and Reinsurance Policies in the Risk Process
• Optimal Dynamic XL Reinsurance
• Probability: A Graduate Course

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