Optimal insurance risk control with multiple reinsurers
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Publication:289286
DOI10.1016/J.CAM.2016.04.005zbMATH Open1339.93124OpenAlexW2341014795MaRDI QIDQ289286FDOQ289286
Authors: Hui Meng, Tak Kuen Siu, Hailiang Yang 
Publication date: 30 May 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.04.005
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Cites Work
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- Optimal risk control for the excess of loss reinsurance policies
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- Optimal reinsurance under variance related premium principles
- Optimal dividends with debts and nonlinear insurance risk processes
- Optimal mixed impulse-equity insurance control problem with reinsurance
- Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
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- Optimal impulse control with variance premium principle
- OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
- Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Impulse control of proportional reinsurance with constraints
Cited In (16)
- Reinsurance games with two reinsurers: tree versus chain
- Reinsurance games with \(n\) variance-premium reinsurers: from tree to chain
- Optimal reinsurance with positively dependent risks
- Multidimensional insurance model with risk-reducing treaty
- Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Optimal stop-loss reinsurance with joint utility constraints
- Optimal Insurance and Reinsurance Policies in the Risk Process
- A continuous-time theory of reinsurance chains
- Stochastic differential game strategies in the presence of reinsurance and dividend payout
- Continuous-time optimal reinsurance strategy with nontrivial curved structures
- Multiple per-claim reinsurance based on maximizing the Lundberg exponent
- Optimal dividend and risk control strategies for an insurer with two groups of reinsurers
- Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
- A note on optimal insurance risk control with multiple reinsurers
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