Optimal dynamic reinsurance with worst-case default of the reinsurer
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Publication:2677949
DOI10.1007/s13385-022-00311-7zbMath1505.91332OpenAlexW4226228105MaRDI QIDQ2677949
Publication date: 9 January 2023
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-022-00311-7
dynamic proportional reinsuranceworst-case scenario approachreinsurer defaultstress scenarioswiss solvency test
Cites Work
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- Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
- Optimal reinsurance designs based on risk measures: a review
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