Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model

DOI10.1155/2012/802518zbMath1257.91026OpenAlexW2079350322WikidataQ58700764 ScholiaQ58700764MaRDI QIDQ1936035

Yan Li, Guoxin Liu

Publication date: 21 February 2013

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/802518

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (1)

Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
• On the ruin probabilities of a bidimensional perturbed risk model
• Survival probability for a two-dimensional risk model
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• Some results on ruin probabilities in a two-dimensional risk model.
• Optimal dynamic reinsurance policies for large insurance portfolios
• On minimizing the ruin probability by investment and reinsurance
• On the first time of ruin in the bivariate compound Poisson model
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimal proportional reinsurance policies for diffusion models
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case

This page was built for publication: Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model