Optimal reinsurance: minimize the expected time to reach a goal

DOI10.1080/03461238.2015.1015161zbMath1401.91171OpenAlexW2025300624MaRDI QIDQ4575374

Shangzhen Luo, Xudong Zeng, Ming-Ming Wang

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1015161

zbMATH Keywords

stochastic controlHJB equationsproportional reinsurancediffusion approximation modelcheap/non-cheap reinsurance

Mathematics Subject Classification ID

Related Items (5)

A pair of optimal reinsurance-investment strategies in the two-sided exit framework ⋮ Minimizing expected time to reach a given capital level before ruin ⋮ Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information ⋮ Maximizing a robust goal-reaching probability with penalization on ambiguity ⋮ Robust optimal reinsurance in minimizing the penalized expected time to reach a goal

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