Proportional and excess-of-loss reinsurance under investment gains

DOI10.1016/j.amc.2010.07.067zbMath1200.91145OpenAlexW2053605644MaRDI QIDQ606816

Cao Yusong, Xu Jin

Publication date: 18 November 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2010.07.067

zbMATH Keywords

excess-of-loss reinsurancereinsuranceproportional reinsurancelogarithm-normal

Mathematics Subject Classification ID

Related Items (1)

Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions

Cites Work

• Optimal reinsurance under the general mixture risk measures
• Insurer's optimal reinsurance strategies
• Optimal insurance under Wang's premium principle.
• Mean-variance portfolio selection for a non-life insurance company
• On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
• Optimal reinsurance under mean-variance premium principles

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