Optimal reinsurance in a compound Poisson risk model with dependence

DOI10.1007/S12190-017-1150-ZMaRDI QIDQ1786965zbMATH OpenOpenAlexFDO

Authors Wei Wei, Zhibin Liang, Kam Chuen Yuen

Publication date 25 September 2018

Published in Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s12190-017-1150-z

zbMATH Keywords

optimal reinsuranceadjustment coefficientcompound Poisson risk modelthinning dependence

Mathematics Subject Classification ID

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Cites work

• A discrete-time risk model with interaction between classes of business.
• Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.
• Measuring the effects of reinsurance by the adjustment coefficient
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• On a correlated aggregate claims model with thinning-dependence structure
• On minimizing the ruin probability by investment and reinsurance
• On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal dynamic reinsurance with dependent risks: variance premium principle
• Optimal proportional reinsurance with common shock dependence
• Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
• Upper bound for ruin probabilities under optimal investment and proportional reinsurance

Cited in

(15)

• Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
• Optimal proportional reinsurance under dependent risks
• Optimal reinsurance-investment problem with dependent risks based on Legendre transform
• Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
• Optimal claim-dependent proportional reinsurance under a self-exciting claim model
• Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
• Actuarial risk models and optimization of considering insurance responsibilities readjustment
• scientific article; zbMATH DE number 6401741 (Why is no real title available?)
• Optimization methods for compound Poisson risk processes
• Optimal reinsurance of a dependent multi-type risk model under variance reinsurance premium principle
• Optimal dividends and reinsurance with capital injection under thinning dependence
• Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
• Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance
• Optimal excess of loss reinsurance for a correlated risk model with thinning-dependence structure
• Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure

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