Dynamic reinsurance in discrete time minimizing the insurer's cost of capital

DOI10.1080/03461238.2021.1964590zbMath1494.91123arXiv2012.09648OpenAlexW3193424153MaRDI QIDQ5865315

Alexander Glauner

Publication date: 13 June 2022

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

Full work available at URL: https://arxiv.org/abs/2012.09648

zbMATH Keywords

optimal reinsurancerisk measurecost of capitalrisk-sensitive Markov decision process

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Actuarial mathematics (91G05)

Cites Work

• Marginal indemnification function formulation for optimal reinsurance
• Markov decision processes with applications to finance.
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Optimal reinsurance under VaR and CTE risk measures
• Optimal dividend payout model with risk sensitive preferences
• Stochastic optimal growth model with risk sensitive preferences
• Optimal risk allocation in reinsurance networks
• Remarks on quantiles and distortion risk measures
• Minimizing spectral risk measures applied to Markov decision processes
• Optimal reinsurance with general premium principles
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Stochastic orders and risk measures: consistency and bounds
• The natural Banach space for version independent risk measures
• Optimal investment-reinsurance with dynamic risk constraint and regime switching
• Mathematical Risk Analysis
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS
• Reinsurance
• A note on a new class of recursive utilities in Markov decision processes
• Stochastic Optimization in Insurance
• On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Dynamic reinsurance in discrete time minimizing the insurer's cost of capital