Worst-case-optimal dynamic reinsurance for large claims
From MaRDI portal
Publication:2391938
differential gamerobust optimizationreserve processdynamic proportional reinsuranceworst-case scenario approachCramér-Lundberg model
Recommendations
Cites work
- scientific article; zbMATH DE number 3307211 (Why is no real title available?)
- An optimal investment strategy with maximal risk aversion and its ruin probability
- Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
- Betting Systems Which Minimize the Probability of Ruin
- OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- On Worst-Case Portfolio Optimization
- On minimizing the ruin probability by investment and reinsurance
- On optimal portfolio diversification with respect to extreme risks
- Optimal Dynamic XL Reinsurance
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal control of capital injections by reinsurance in a diffusion approximation
- Optimal dividend strategies for a risk process under force of interest
- Optimal investment for worst-case crash scenarios: a martingale approach
- Optimal proportional reinsurance under two criteria: maximizing the expected utility and minimizing the value at risk
- Optimal reinsurance/investment problems for general insurance models
- Theory and applications of robust optimization
- Worst-case scenario investment for insurers
- Worst-case scenario portfolio optimization: a new stochastic control approach
Cited in
(17)- Optimal reinsurance and dividend under model uncertainty
- 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
- Fourier methods for the claims amounts of largest claims reinsurance covers
- Lifetime consumption and investment for worst-case crash scenarios
- 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
This page was built for publication: Worst-case-optimal dynamic reinsurance for large claims
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2391938)
