Optimal Dynamic Reinsurance

DOI10.2143/AST.36.2.2017928zbMath1162.91408OpenAlexW4233724884MaRDI QIDQ3632843

David C. M. Dickson, Howard R. Waters

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.36.2.2017928

Mathematics Subject Classification ID

Related Items (5)

Optimal lower barrier on modified surplus process ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model ⋮ Discrete-time insurance model with capital injections and reinsurance ⋮ Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums

Cites Work

• On minimizing the ruin probability by investment and reinsurance
• On the Ruin Problem of Collective Risk Theory
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