Optimisation in Non-Life Insurance

DOI10.1080/15326340600878420zbMath1107.93036OpenAlexW2080609339MaRDI QIDQ3424145

Hanspeter Schmidli

Publication date: 15 February 2007

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340600878420

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationstochastic controlruin probabilitychange of measuresubexponential distributionproportional reinsurancedividendsCramér-Lundberg approximationsmall claims

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic processes (60G99)

Related Items (10)

On the optimal dividend problem in the dual model with surplus-dependent premiums ⋮ Contagion modeling between the financial and insurance markets with time changed processes ⋮ Solution to HJB equations with an elliptic integro-differential operator and gradient constraint ⋮ Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process ⋮ On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes ⋮ Dividend maximization under consideration of the time value of ruin ⋮ Optimal payout policy in presence of downside risk ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure

Cites Work

• Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
• Some mathematical aspects of reinsurance
• On minimizing the ruin probability by investment and reinsurance
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Martingales and insurance risk
• On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• Optimal investment for insurers

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