Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital
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Publication:2290401
DOI10.1134/S0005117919040088zbMATH Open1431.91330OpenAlexW2941706261WikidataQ127968880 ScholiaQ127968880MaRDI QIDQ2290401FDOQ2290401
Authors: A. Yu. Golubin, V. N. Gridin 
Publication date: 27 January 2020
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0005117919040088
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Cites Work
- Tail Conditional Expectations for Elliptical Distributions
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- Optimal reinsurance subject to Vajda condition
- Optimal reinsurance under VaR and CTE risk measures
- Optimal indemnity contracts
- Problems in stochastic programming with probabilistic criteria
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- Optimization of risk bearing in a statistical model with reinsurance
- Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
- Title not available (Why is that?)
- Optimal reinsurance design: a mean-variance approach
Cited In (13)
- Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments
- On the approximation of the necessary capital reserve for an insurance company in the case a large number of inhomogeneous contracts
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- Optimal insurance in the presence of insurer's loss limit
- Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process
- Barrier present value maximization for a diffusion model of insurance surplus
- Optimal insurance strategies in a risk process with restrictions on policyholder risks
- Optimal decision rule in forming an insurance portfolio
- Optimal insurance under the insurer's risk constraint
- The effect of risk constraints on the optimal insurance policy
- An optimal insurance strategy for an individual under an intertemporal equilibrium
- An insurer's optimal strategy towards a new independent business
- Optimal insurance and reinsurance policies chosen jointly in the individual risk model
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