Optimal reinsurance with a rescuing procedure

DOI10.1016/J.INSMATHECO.2009.12.005zbMath1231.91256OpenAlexW2008848434MaRDI QIDQ659241

Xudong Zeng

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.12.005

zbMATH Keywords

stochastic controlstochastic differential equationsproportional reinsurancebailoutcontrolled stochastic processesminimize expected timerescuing procedure

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (5)

Optimal reinsurance: minimize the expected time to reach a goal ⋮ Optimal investment and reinsurance policies in insurance markets under the effect of inside information ⋮ A stochastic differential reinsurance game ⋮ Stochastic Pareto-optimal reinsurance policies ⋮ Optimal non-proportional reinsurance control and stochastic differential games

Cites Work

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• The expected time to ruin in a risk process with constant barrier via martingales
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• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Minimizing or Maximizing the Expected Time to Reach Zero
• OPTIMAL GROWTH IN CONTINUOUS-TIME WITH CREDIT RISK
• Optimal reinsurance

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