Optimal Dynamic Risk Control for Insurers with State-Dependent Income

DOI10.1239/jap/1402578634zbMath1291.93334OpenAlexW2090697813MaRDI QIDQ5169735

Ming Zhou, Jun Cai

Publication date: 11 July 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1402578634

zbMATH Keywords

excess-of-loss reinsuranceHJB equationabsolute ruinliquid reservestate-dependent income

Mathematics Subject Classification ID

Related Items (10)

Optimality of excess-loss reinsurance under a mean-variance criterion ⋮ Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling ⋮ Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES ⋮ Minimizing the probability of absolute ruin under ambiguity aversion ⋮ Continuous-time optimal reinsurance strategy with nontrivial curved structures ⋮ Minimizing the probability of ruin: optimal per-loss reinsurance ⋮ Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin ⋮ Robust optimal reinsurance in minimizing the penalized expected time to reach a goal ⋮ Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

Cites Work

• Unnamed Item
• Unnamed Item
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal risk and dividend distribution control models for an insurance company
• A note on Gronwall-Bellman inequality
• On absolute ruin minimization under a diffusion approximation model
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
• Insurance with borrowing: first- and second-order approximations
• Optimal Risk Control for The Excess of Loss Reinsurance Policies
• On the time value of absolute ruin with debit interest
• Optimal proportional reinsurance policies for diffusion models
• Diffusion approximations for a risk process with the possibility of borrowing and investment
• Ruin estimation for a general insurance risk model
• On the expectation of total discounted operating costs up to default and its applications
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

This page was built for publication: Optimal Dynamic Risk Control for Insurers with State-Dependent Income