Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital

DOI10.1134/S0005117919040088zbMath1431.91330OpenAlexW2941706261WikidataQ127968880 ScholiaQ127968880MaRDI QIDQ2290401

V. N. Gridin, A. Yu. Golubin

Publication date: 27 January 2020

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

Full work available at URL: https://doi.org/10.1134/s0005117919040088

zbMATH Keywords

optimal insuranceMarkowitz-type utility functionalquantile constraint

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items (2)

Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments ⋮ Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process

Cites Work

• Optimal reinsurance under VaR and CTE risk measures
• Optimization of risk bearing in a statistical model with reinsurance
• Optimal indemnity contracts
• Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
• Optimal reinsurance subject to Vajda condition
• Optimal Reinsurance Design: A Mean-Variance Approach
• Tail Conditional Expectations for Elliptical Distributions
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