Optimal proportional reinsurance under dependent risks

DOI10.1007/S11424-012-1045-XzbMath1282.93276OpenAlexW2052694558MaRDI QIDQ394398

Fengqing Hu, Kam-Chuen Yuen

Publication date: 27 January 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-1045-x

zbMATH Keywords

adjustment coefficientmean-variance principleoptimal proportional reinsurancethinning-dependence structure

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• On a correlated aggregate claims model with thinning-dependence structure
• Some mathematical aspects of reinsurance
• Dependent risks and excess of loss reinsurance
• Reinsurance control in a model with liabilities of the fractional Brownian motion type
• Optimal Dynamic XL Reinsurance
• On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
• Financial Modelling with Jump Processes
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting

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