Optimal reinsurance under dynamic VaR constraint
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Publication:2374115
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Cites work
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- Coherent measures of risk
- Constructing Risk Measures from Uncertainty Sets
- Controlled Markov processes and viscosity solutions
- Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- On minimizing the ruin probability by investment and reinsurance
- Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
- Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
- Optimal Dynamic Trading Strategies with Risk Limits
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal portfolios under a value-at-risk constraint
- Optimal proportional reinsurance policies for diffusion models
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal risk and dividend distribution control models for an insurance company
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal risk control for the excess of loss reinsurance policies
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Worst-case conditional value-at-risk with application to robust portfolio management
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Worst-case VaR and CVaR
Cited in
(27)- Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
- Explicit investment setting in a Kaldor macroeconomic model with macro shock
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Optimal reinsurance under variance related premium principles
- Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Enhancing an insurer's expected value by reinsurance and external financing
- Reinsurance of multiple risks with generic dependence structures
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Optimal reinsurance approach with barrier dividend under the dynamic VaR constraint
- Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal Dynamic XL Reinsurance
- Optimal reinsurance of dependent risks
- Robust reinsurance contracts with risk constraint
- scientific article; zbMATH DE number 6453031 (Why is no real title available?)
- Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
- Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Some optimisation problems in insurance with a terminal distribution constraint
- The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments
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