An optimal reinsurance problem in the Cramér-Lundberg model

DOI10.1007/S00186-016-0559-8MaRDI QIDQ2014366zbMATH OpenOpenAlexWikidataFDO

Authors Arian Cani, Stefan Thonhauser

Publication date 11 August 2017

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00186-016-0559-8

zbMATH Keywords

stochastic controlreinsuranceCramér-Lundberg model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic processes (60G99)

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Cites work

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• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
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• On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
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• On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
• On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
• On the expectation of total discounted operating costs up to default and its applications
• Optimal Dynamic XL Reinsurance
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal control of risk exposure, reinsurance and investments for insurance portfolios
• Optimal non-proportional reinsurance control
• Optimal proportional reinsurance policies for diffusion models
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal risk and dividend distribution control models for an insurance company
• Optimal risk control and dividend policies under excess of loss reinsurance
• Ruin probabilities
• Some mathematical aspects of reinsurance
• Stochastic optimization in insurance. A dynamic programming approach
• Worst-case-optimal dynamic reinsurance for large claims

Cited in

(9)

• Extensions of Ohlin's lemma with applications to optimal reinsurance structures
• Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model
• ECOMOR and LCR reinsurance with gamma-like claims
• Optimal dynamic reinsurance strategies in multidimensional portfolio
• A value function of discrete-time surplus process in insurance under investment and reinsurance credit risk
• Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model
• Optimal multidimensional reinsurance policies under a common shock dependency structure
• Optimisation of drawdowns by generalised reinsurance in the classical risk model
• Reinsurance of multiple risks with generic dependence structures

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