Optimal reinsurance in a compound Poisson risk model with dependence
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Publication:1786965
DOI10.1007/S12190-017-1150-ZzbMATH Open1397.91294OpenAlexW2767965855MaRDI QIDQ1786965FDOQ1786965
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
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Cites Work
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- On minimizing the ruin probability by investment and reinsurance
- On a correlated aggregate claims model with thinning-dependence structure
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Upper bound for ruin probabilities under optimal investment and proportional reinsurance
- On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
- Measuring the effects of reinsurance by the adjustment coefficient
- On a correlated aggregate claims model with Poisson and Erlang risk processes.
- Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.
- Optimal proportional reinsurance with common shock dependence
- A discrete-time risk model with interaction between classes of business.
Cited In (12)
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
- Optimal proportional reinsurance under dependent risks
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- Optimal dividends and reinsurance with capital injection under thinning dependence
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- Optimal excess of loss reinsurance for a correlated risk model with thinning-dependence structure
- Optimal reinsurance of a dependent multi-type risk model under variance reinsurance premium principle
- Title not available (Why is that?)
- Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance
- Optimization methods for compound Poisson risk processes
- Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
- Actuarial risk models and optimization of considering insurance responsibilities readjustment
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