Optimal investment and proportional reinsurance in the Sparre Andersen model

DOI10.1007/s11424-012-0058-9zbMath1269.93135MaRDI QIDQ2391925

Zhibin Liang, Jun-Yi Guo

Publication date: 5 August 2013

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-0058-9

zbMATH Keywords

optimal strategy; proportional reinsurance; Sparre Andersen model; maximal adjustment coefficient

Mathematics Subject Classification ID

91B70: Stochastic models in economics

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

Optimal investment problem for an insurer and a reinsurer

Cites Work

• Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
• Optimal investment for insurer with jump-diffusion risk process
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
• Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
• Aspects of risk theory
• Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.
• Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• Asymptotic ruin probabilities and optimal investment
• Optimal investment for investors with state dependent income, and for insurers
• On minimizing the ruin probability by investment and reinsurance
• Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal investment and proportional reinsurance with constrained control variables
• Upper bound for ruin probabilities under optimal investment and proportional reinsurance
• Excess of loss reinsurance limits
• Optimal proportional reinsurance policies for diffusion models
• On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal Proportional Reinsurance and Ruin Probability
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• Ruin Probabilities for Two Classes of Risk Processes
• On Erlang(2) Risk Process Perturbed by Diffusion
• Optimal Investment for an Insurer to Minimize Its Probability of Ruin
• Optimal investment for insurers