Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model

DOI10.1016/j.insmatheco.2019.04.002zbMath1410.91282arXiv1809.00990OpenAlexW2890661002MaRDI QIDQ2421399

Stefan Thonhauser, Michael Preischl

Publication date: 17 June 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.00990

zbMATH Keywords

policy iterationoptimal stochastic controlCramér-Lundberg modelGerber-Shiu functionsdynamic reinsurance

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (4)

Optimal excess-of-loss reinsurance and investment with stochastic factor process ⋮ Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend ⋮ Optimal multidimensional reinsurance policies under a common shock dependency structure ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives

Cites Work

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• Optimal Dynamic XL Reinsurance
• On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
• Stochastic Optimization in Insurance
• On the Time Value of Ruin

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