Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility (Q545562): Difference between revisions

@@ Property / DOI @@
-.1007/s12190-010-0385-8
@@ Property / DOI: 10.1007/s12190-010-0385-8 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+L25
@@ Property / Mathematics Subject Classification ID: 49L25 / rank @@
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@@ Property / zbMATH DE Number @@
+5911489
@@ Property / zbMATH DE Number: 5911489 / rank @@
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@@ Property / zbMATH Keywords @@
+expected utility
@@ Property / zbMATH Keywords: expected utility / rank @@
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@@ Property / zbMATH Keywords @@
+diffusion approximation
@@ Property / zbMATH Keywords: diffusion approximation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+compound Poisson process
@@ Property / zbMATH Keywords: compound Poisson process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hamilton-Jacobi-Bellman equation
@@ Property / zbMATH Keywords: Hamilton-Jacobi-Bellman equation / rank @@
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@@ Property / zbMATH Keywords @@
+quota-share reinsurance
@@ Property / zbMATH Keywords: quota-share reinsurance / rank @@
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@@ Property / zbMATH Keywords @@
+excess of loss reinsurance
@@ Property / zbMATH Keywords: excess of loss reinsurance / rank @@
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@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s12190-010-0385-8
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@@ Property / OpenAlex ID @@
+W1970232156
@@ Property / OpenAlex ID: W1970232156 / rank @@
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@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+Measuring the effects of reinsurance by the adjustment coefficient
+Normal rank
@@ Property / cites work @@
+Dependent risks and excess of loss reinsurance
@@ Property / cites work: Dependent risks and excess of loss reinsurance / rank @@
+Normal rank
@@ Property / cites work @@
+Q3158278
@@ Property / cites work: Q3158278 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk theory for the compound Poisson process that is perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic XL Reinsurance
@@ Property / cites work: Optimal Dynamic XL Reinsurance / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance policies for diffusion models
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+Optimal control of risk exposure, reinsurance and investments for insurance portfolios
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+Optimization Problems in the Theory of Continuous Trading
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+Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions
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+Optimal Proportional Reinsurance and Ruin Probability
+Normal rank
@@ Property / cites work @@
+Upper bound for ruin probabilities under optimal investment and proportional reinsurance
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@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
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@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance Policies in a Dynamic Setting
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Q5434181
@@ Property / cites work: Q5434181 / rank @@
+Normal rank
@@ Property / cites work @@
+Excess of loss reinsurance limits
@@ Property / cites work: Excess of loss reinsurance limits / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
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@@ Property / DOI @@
+.1007/S12190-010-0385-8
@@ Property / DOI: 10.1007/S12190-010-0385-8 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:545562