Optimal Reinsurance Design: A Mean-Variance Approach

DOI10.1080/10920277.2016.1192478zbMath1414.91175OpenAlexW2467486775MaRDI QIDQ5379204

Yichun Chi, Ming Zhou

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2016.1192478

zbMATH Keywords

mean-variance preferenceoptimal reinsurance model

Mathematics Subject Classification ID

Related Items (8)

Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ Insurance choice under third degree stochastic dominance ⋮ Optimal insurance to maximize RDEU under a distortion-deviation premium principle ⋮ Robust reinsurance contracts with risk constraint ⋮ A continuous-time theory of reinsurance chains ⋮ Bowley solution of a mean-variance game in insurance ⋮ Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital ⋮ Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process

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