Optimisation in Non-Life Insurance

DOI10.1080/15326340600878420MaRDI QIDQ3424145zbMATH OpenOpenAlexFDO

Authors 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

change of measureCramér-Lundberg approximationdividendsHamilton-Jacobi-Bellman equationoptimal controlproportional reinsuranceruin probabilitysmall claimsstochastic controlsubexponential distribution

Mathematics Subject Classification ID

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

Recommendations

• Optimal non-proportional reinsurance control
• Stochastic optimization in insurance. A dynamic programming approach
• On minimizing the ruin probability by investment and reinsurance
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
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Cites work

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

Cited in

(12)

• Optimal payout policy in presence of downside risk
• On the optimal dividend problem in the dual model with surplus-dependent premiums
• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
• Ruin probability and time of ruin with a proportional reinsurance threshold strategy
• Contagion modeling between the financial and insurance markets with time changed processes
• Utility maximization and risk minimization in life and pension insurance
• Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
• Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process
• Stochastic optimization in insurance. A dynamic programming approach
• Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms
• 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

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