Worst-case-optimal dynamic reinsurance for large claims
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Publication:2391938
DOI10.1007/S13385-012-0050-8zbMATH Open1269.91044OpenAlexW3122838776MaRDI QIDQ2391938FDOQ2391938
Authors: Ralf Korn, Olaf Menkens, Mogens Steffensen 
Publication date: 5 August 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: http://doras.dcu.ie/17168/1/Worst_Case_Optimal_Reinsurance_WP_26_06_2012.pdf
Recommendations
differential gamerobust optimizationreserve processdynamic proportional reinsuranceworst-case scenario approachCramér-Lundberg model
Cites Work
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Cited In (17)
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Lifetime consumption and investment for worst-case crash scenarios
- Fourier methods for the claims amounts of largest claims reinsurance covers
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Largest Claims Reinsurance Premiums under Possible Claims Dependence
- Optimal dynamic reinsurance policies for large insurance portfolios
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- An optimal reinsurance problem in the Cramér-Lundberg model
- Optimal dynamic reinsurance with worst-case default of the reinsurer
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Optimal Dynamic XL Reinsurance
- The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- Optimal reinsurance and dividend under model uncertainty
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