Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model

DOI10.1134/S000511791209007XzbMath1258.93121MaRDI QIDQ1941910

V. N. Gridin, A. Yu. Golubin

Publication date: 22 March 2013

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

zbMATH Keywords

optimal controlstop-loss strategycontrollable Cramér-Lundberg risk processfranchisestrategies for insurance and reinsurance

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (5)

Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments ⋮ Risk process with a periodic reinsurance: choosing an optimal reinsurance strategy of a total risk ⋮ Escape dynamics and fractal basin boundaries in Seyfert galaxies ⋮ The Lin-Shu type density wave structure of our galaxy: line-of-sight velocities of 396 HII regions ⋮ Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process

Cites Work

• Unnamed Item
• Unnamed Item
• Optimal insurance strategies in a risk process with restrictions on policyholder risks
• On reinsurance and investment for large insurance portfolios
• Optimization of risk bearing in a statistical model with reinsurance
• On minimizing the ruin probability by investment and reinsurance
• Optimal Insurance and Reinsurance Policies in the Risk Process
• Optimal Dynamic XL Reinsurance

This page was built for publication: Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model