Optimum excess-loss reinsurance: A dynamic framework

DOI10.1016/0304-4149(81)90013-2MaRDI QIDQ1157080zbMATH OpenOpenAlexFDO

Authors Charles S. Tapiero, Dror Zuckerman

Publication date 1981

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(81)90013-2

zbMATH Keywords

collective risk theorydiffusion approximationexcess-lossloading factorreinsuranceStackelberg solution

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Diffusion processes (60J60) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• Diffusion approximations and models for certain congestion problems
• Diffusion approximations in collective risk theory
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• scientific article; zbMATH DE number 3137856 (Why is no real title available?)
• scientific article; zbMATH DE number 3599745 (Why is no real title available?)
• scientific article; zbMATH DE number 3334113 (Why is no real title available?)
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• Optimal control of a Brownian storage system
• Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
• Optimal reinsurance
• Ruin problems with compounding assets

Cited in

(5)

• Optimal investment policy of an insurance firm
• Joint insurance and capitalization costs
• Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions
• Premium valuation in international insurance
• Stackelberg reinsurance and premium decisions with MV criterion and irreversibility

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