Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
From MaRDI portal
Publication:2282522
DOI10.1016/j.ejor.2019.08.053zbMath1431.91344OpenAlexW2955657827WikidataQ127304246 ScholiaQ127304246MaRDI QIDQ2282522
Ken Seng Tan, Wei Wei, Pengyu Wei, Sheng Chao Zhuang
Publication date: 8 January 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2019.08.053
Related Items
Robust reinsurance contract with learning and ambiguity aversion ⋮ On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ A marginal indemnity function approach to optimal reinsurance under the Vajda condition ⋮ Demand for non-life insurance under habit formation ⋮ How Much Is Optimal Reinsurance Degraded by Error? ⋮ Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility ⋮ The effect of risk constraints on the optimal insurance policy ⋮ Optimal multidimensional reinsurance policies under a common shock dependency structure ⋮ Optimal dynamic reinsurance with worst-case default of the reinsurer ⋮ Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle ⋮ Bowley vs. Pareto optima in reinsurance contracting ⋮ Optimal reinsurance contract in a Stackelberg game framework: a view of social planner ⋮ Optimal reinsurance design under solvency constraints ⋮ Reinsurance games with two reinsurers: tree versus chain ⋮ Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer ⋮ A continuous-time theory of reinsurance chains ⋮ Risk sharing with multiple indemnity environments ⋮ A hybrid stochastic differential reinsurance and investment game with bounded memory ⋮ Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
Cites Work
- Unnamed Item
- Unnamed Item
- Marginal indemnification function formulation for optimal reinsurance
- Good deals and benchmarks in robust portfolio selection
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
- Analysis of order-up-to-level inventory systems with compound Poisson demand
- Stable solutions for optimal reinsurance problems involving risk measures
- Optimal non-proportional reinsurance control
- Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process
- Insurance with multiple insurers: a game-theoretic approach
- Optimal investment for insurer with jump-diffusion risk process
- Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
- Optimal reinsurance with general risk measures
- Analysis and evaluation of an assemble-to-order system with batch ordering policy and compound Poisson demand
- Optimal dynamic reinsurance policies for large insurance portfolios
- Robust and Pareto optimality of insurance contracts
- On the dual risk model with Parisian implementation delays in dividend payments
- Derivatives trading for insurers
- On minimizing the ruin probability by investment and reinsurance
- Periodic review lost-sales inventory models with compound Poisson demand and constant lead times of any length
- Inequalities for the ruin probability in a controlled discrete-time risk process
- Optimal reinsurance with general premium principles
- Controlled Markov processes and viscosity solutions
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Optimal Risk Control for The Excess of Loss Reinsurance Policies
- A diffusion approximation for the ruin function of a risk process with compounding assets
- Optimal proportional reinsurance policies for diffusion models
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- Reinsurance
- Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
- Optimal Dynamic XL Reinsurance
- Statistical Tools for Finance and Insurance
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- On Moral Hazard and Insurance
- OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY
- Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model
- Optimal insurance under rank‐dependent utility and incentive compatibility
- Diffusion approximations in collective risk theory
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal risk control for a large corporation in the presence of returns on investments
This page was built for publication: Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
