Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments

DOI10.1134/S0005117920090076zbMath1454.91188OpenAlexW3096093077MaRDI QIDQ828560

V. N. Gridin, A. Yu. Golubin

Publication date: 9 January 2021

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117920090076

zbMATH Keywords

risk processprobabilistic constraintoptimal insurance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Cites Work

• Optimal non-proportional reinsurance control
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
• Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model
• Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital
• Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
• Optimal Insurance and Reinsurance Policies in the Risk Process
• Optimal Dynamic XL Reinsurance
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