Traditional versus non-traditional reinsurance in a dynamic setting

DOI10.1080/03461230310016983zbMath1091.62101OpenAlexW1989551333MaRDI QIDQ5467665

Nicole Bäuerle

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1080/03461230310016983

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationdiffusion approximationproportional reinsuranceCramér-Lundberg risk modelcatastrophe bonds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (4)

Optimal reinsurance design under solvency constraints ⋮ Markov-modulated diffusion risk models ⋮ Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting ⋮ Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework

Cites Work

• Unnamed Item
• Ruin problems with compounding assets
• On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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