Risk- and value-based management for non-life insurers under solvency constraints
From MaRDI portal
Publication:1754147
Recommendations
- Revisiting optimal investment strategies of value-maximizing insurance firms
- Optimal non-life reinsurance under Solvency II regime
- Pricing and solvency of value-maximizing life annuity providers
- Optimal control of investment, premium and deductible for a non-life insurance company
- Pareto-optimal reinsurance with default risk and solvency regulation
Cites work
- Applying simulation optimization to the asset allocation of a property-casualty insurer
- Approximation of the tail probability of randomly weighted sums and applications
- Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
- Asymptotic results for a Markov-modulated risk process with stochastic investment
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Asymptotics in a time-dependent renewal risk model with stochastic return
- Benchmark and mean-variance problems for insurers
- Bounds for the Ruin Probability of a Discrete-Time Risk Process
- Does mean-variance portfolio management deserve expected utility's approximative affirmation?
- Dynamic mean-variance problem with constrained risk control for the insurers
- Exponential Behavior in the Presence of Dependence in Risk Theory
- Extremes and products of multivariate AC-product risks
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
- scientific article; zbMATH DE number 3630099 (Why is no real title available?)
- scientific article; zbMATH DE number 3388498 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- In the insurance business risky investments are dangerous: the case of negative risk sums
- Inequalities for the ruin probability in a controlled discrete-time risk process
- Integrated insurance risk models with exponential Lévy investment
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Mean-variance approximations to expected utility
- Minimizing upper bound of ruin probability under discrete risk model with Markov chain interest rate
- Minimum standards for investment performance: a new perspective on non-life insurer solvency
- Non-life insurance mathematics. An introduction with the Poisson process
- On a class of renewal risk models with a constant dividend barrier
- On consumer preferences and the willingness to pay for term life insurance
- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
- On finite-time ruin probabilities in a generalized dual risk model with dependence
- On minimizing the ruin probability by investment and reinsurance
- On the dual risk model with Parisian implementation delays in dividend payments
- On the Gerber-Shiu discounted penalty function for the ordinary renewal risk model with constant interest
- On the occupation times in a delayed Sparre Andersen risk model with exponential claims
- On the ruin probabilities in a general economic environment
- On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- Optimal dividends in the dual model
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Probabilistic insurance
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Reply to Professor Loistl
- Risk theory in a stochastic economic environment
- Ruin models with investment income
- Ruin probabilities
- Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
- Ruin probabilities in a finite-horizon risk model with investment and reinsurance
- Ruin probabilities under general investments and heavy-tailed claims
- Ruin problems for a discrete time risk model with random interest rate
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
- Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
- Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
Cited in
(14)- Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
- Bayesian value-at-risk backtesting: the case of annuity pricing
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- A comparison of tail dependence estimators
- Wertorientiertes Risikomanagement von Versicherungsunternehmen
- Risk Management and Capital Allocation for Non-Life Insurance Companies
- Interest-Rate Changes and the Value of a Non-life Insurance Company
- Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions
- Pricing and solvency of value-maximizing life annuity providers
- Efficient capital management using an internal model: a case of non-life insurance
- Optimal reinsurance design under solvency constraints
- The impact of dependencies between climate risks on the asset and liability side of non-life insurers
- Comparing and quantifying tail dependence
- On the regulator-insurer interaction in a structural model
This page was built for publication: Risk- and value-based management for non-life insurers under solvency constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1754147)
