Optimal investment and proportional reinsurance in the Sparre Andersen model

DOI10.1007/S11424-012-0058-9zbMATH Open1269.93135OpenAlexW2015504096MaRDI QIDQ2391925FDOQ2391925

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

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scientific article; zbMATH DE number 6135077

zbMATH Keywords

proportional reinsurance optimal strategy Sparre Andersen model maximal adjustment coefficient

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Cites Work

Optimal Proportional Reinsurance Policies in a Dynamic Setting
Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
Optimal investment for insurers
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
Aspects of risk theory
Optimal investment and proportional reinsurance with constrained control variables
Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
On minimizing the ruin probability by investment and reinsurance
Optimal proportional reinsurance policies for diffusion models
Upper bound for ruin probabilities under optimal investment and proportional reinsurance
Optimal Investment for an Insurer to Minimize Its Probability of Ruin
On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
Asymptotic ruin probabilities and optimal investment
Optimal investment for investors with state dependent income, and for insurers
Asymptotics of ruin probabilities for controlled risk processes in the small claims case
Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.
Optimal Proportional Reinsurance and Ruin Probability
Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions
Excess of loss reinsurance limits
Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.
Ruin Probabilities for Two Classes of Risk Processes
Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
On Erlang(2) Risk Process Perturbed by Diffusion

Cited In (2)

Optimal investment problem for an insurer and a reinsurer
Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.

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