An optimal reinsurance problem in the Cramér-Lundberg model
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Publication:2014366
DOI10.1007/S00186-016-0559-8zbMATH Open1377.93174OpenAlexW2521288705WikidataQ59523198 ScholiaQ59523198MaRDI QIDQ2014366FDOQ2014366
Authors: Arian Cani, Stefan Thonhauser 
Publication date: 11 August 2017
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-016-0559-8
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Cites Work
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Cited In (8)
- Reinsurance of multiple risks with generic dependence structures
- Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model
- Extensions of Ohlin's lemma with applications to optimal reinsurance structures
- ECOMOR and LCR reinsurance with gamma-like claims
- Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model
- Optimal multidimensional reinsurance policies under a common shock dependency structure
- A value function of discrete-time surplus process in insurance under investment and reinsurance credit risk
- Optimal dynamic reinsurance strategies in multidimensional portfolio
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