Optimal insurance risk control with multiple reinsurers
From MaRDI portal
Publication:289286
DOI10.1016/j.cam.2016.04.005zbMath1339.93124OpenAlexW2341014795MaRDI QIDQ289286
Hailiang Yang, Hui Meng, Tak Kuen Siu
Publication date: 30 May 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.04.005
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (12)
Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model ⋮ Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process ⋮ Optimal dividend and risk control strategies for an insurer with two groups of reinsurers ⋮ Reinsurance games with two reinsurers: tree versus chain ⋮ Stochastic differential game strategies in the presence of reinsurance and dividend payout ⋮ A continuous-time theory of reinsurance chains ⋮ A note on optimal insurance risk control with multiple reinsurers ⋮ Optimal stop-loss reinsurance with joint utility constraints ⋮ Continuous-time optimal reinsurance strategy with nontrivial curved structures ⋮ Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure ⋮ Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
Cites Work
- Impulse control of proportional reinsurance with constraints
- Optimal non-proportional reinsurance control
- Aspects of risk theory
- Optimal reinsurance under variance related premium principles
- Optimal dividends with debts and nonlinear insurance risk processes
- Optimal risk transfer under quantile-based risk measurers
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance
- Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
- Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
- Optimal Reinsurance for Variance Related Premium Calculation Principles
- Optimal Risk Control for The Excess of Loss Reinsurance Policies
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Optimal reinsurance arrangements in the presence of two reinsurers
- Optimal impulse control with variance premium principle
- OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
- Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
This page was built for publication: Optimal insurance risk control with multiple reinsurers
