Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model

DOI10.1155/2012/802518MaRDI QIDQ1936035zbMATH OpenOpenAlexWikidataFDO

Authors Yan Li, Guoxin Liu

Publication date 21 February 2013

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/802518

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• 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
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• On minimizing the ruin probability by investment and reinsurance
• On the first time of ruin in the bivariate compound Poisson model
• On the ruin probabilities of a bidimensional perturbed risk model
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal proportional reinsurance policies for diffusion models
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Some results on ruin probabilities in a two-dimensional risk model.
• Survival probability for a two-dimensional risk model

Cited in

(6)

• Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
• scientific article; zbMATH DE number 2169140 (Why is no real title available?)
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
• A two-dimensional risk model with proportional reinsurance
• On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance

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