Optimal Dynamic Reinsurance

DOI10.2143/AST.36.2.2017928MaRDI QIDQ3632843zbMATH OpenOpenAlexFDO

Authors David C. M. Dickson, Howard R. Waters

Publication date 15 June 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.36.2.2017928

Mathematics Subject Classification ID

Recommendations

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• On minimizing the ruin probability by investment and reinsurance
• On the Ruin Problem of Collective Risk Theory

Cited in

(28)

• Optimal dynamic reinsurance policies for large insurance portfolios
• Risk process with a periodic reinsurance: choosing an optimal reinsurance strategy of a total risk
• Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model
• Ruin probability and time of ruin with a proportional reinsurance threshold strategy
• Optimal investment and reinsurance under the gamma process
• Optimal reinsurance via Dirac-Feynman approach
• Optimal layer reinsurance for compound fractional Poisson model
• Worst-case-optimal dynamic reinsurance for large claims
• Enhancing insurer value through reinsurance optimization
• Reinsurance optimal strategy of a loss excess
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Calculating continuous time ruin probabilities for a large portfolio with varying premiums
• Optimal reinsurances
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• scientific article; zbMATH DE number 591098 (Why is no real title available?)
• Optimal reinsurance: minimize the expected time to reach a goal
• Optimal Dynamic XL Reinsurance
• Optimal dynamic equilibrium in insurance policies
• Optimal reinsurance of a delayed claims risk model
• Optimal lower barrier on modified surplus process
• Optimal dynamic risk control for insurers with state-dependent income
• Optimal reinsurance
• Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
• Some optimisation problems in insurance with a terminal distribution constraint
• Optimal reinsurance with a systemic surplus shock
• Stackelberg reinsurance and premium decisions with MV criterion and irreversibility
• A dynamic framework for stop-loss and quota-share reinsurance: a comprehensive risk measurement approach
• Discrete-time insurance model with capital injections and reinsurance

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