Optimal reinsurance design under solvency constraints (Q6127106)

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scientific article; zbMATH DE number 7830031
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English
Optimal reinsurance design under solvency constraints
scientific article; zbMATH DE number 7830031

    Statements

    title
    Optimal reinsurance design under solvency constraints (English)
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    author
    Benjamin Avanzi
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    Hayden Lau
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    Mogens Steffensen
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    publication date
    10 April 2024
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    zbMATH Keywords
    reinsurance
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    quadratic utility
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    terminal value constraints
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    martingale method
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    payoff function
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    cites work
    Reinsurance
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    Q3560912
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    Q5609896
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    Q3714851
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    Q4211565
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    Q5434181
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    Identifiers

    arXiv ID
    2203.16108
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    Mathematics Subject Classification ID
    91G05
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    93E20
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    91G70
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    60G46
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    zbMATH DE Number
    7830031
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    OpenAlex ID
    W4387402911
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