Optimal reinsurance design under solvency constraints

DOI10.1080/03461238.2023.2257405arXiv2203.16108OpenAlexW4387402911MaRDI QIDQ6127106

Mogens Steffensen, Hayden Lau, Benjamin Avanzi

Publication date: 10 April 2024

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

Full work available at URL: https://arxiv.org/abs/2203.16108

zbMATH Keywords

payoff functionreinsurancemartingale methodquadratic utilityterminal value constraints

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Martingales and classical analysis (60G46) Actuarial mathematics (91G05)

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