Optimal risk management strategies in a diffusion risk process: a simultaneous problem
The paper addresses the optimal risk management strategies, in a scenario where reinsurance strategies are considered together with capital injections simultaneously for two insurance companies. The analysis is structured around a quantitative risk model that relies on a diffusion approximation and cash surpluses represented by a Brownian motion and reinsurance premium rate. After introducing the classical Cramér-Lundberg process, the study lays the groundwork for investigating the optimization problem faced by a value-maximizing insurance company that aims to improve its profitability by implementing dynamic risk management strategies. The company is involved in a dynamic environment where it receives premiums continuously and faces claims that are modeled by a compound Poisson process. Then, the optimal reinsurance strategies are deepened and the optimal capital injection strategies are studied. The model is illustrated by numerical examples, which highlight its application value.
- A class of non-zero-sum stochastic differential investment and reinsurance games
- A numerical approach to optimal dividend policies with capital injections and transaction costs
- An optimal reinsurance problem in the Cramér-Lundberg model
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Dynamic risk-sharing game and reinsurance contract design
- scientific article; zbMATH DE number 3307211 (Why is no real title available?)
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