Optimal Risk Control for The Excess of Loss Reinsurance Policies

DOI10.2143/AST.40.1.2049224zbMath1230.91079MaRDI QIDQ3569710

Xin Zhang, Hui Meng

Publication date: 21 June 2010

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlinvestmentsexcess of lossminimal probability of ruin

Mathematics Subject Classification ID

Related Items (21)

Optimality of excess-loss reinsurance under a mean-variance criterion ⋮ Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling ⋮ Time-consistent proportional reinsurance and investment strategies under ambiguous environment ⋮ Optimal insurance risk control with multiple reinsurers ⋮ Optimal reinsurance under dynamic VaR constraint ⋮ Minimizing ruin probability under the Sparre Anderson model ⋮ Optimal reinsurance: minimize the expected time to reach a goal ⋮ Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ Optimal portfolio and reinsurance with two differential risky assets ⋮ OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES ⋮ Optimization problems of excess-of-loss reinsurance and investment under the CEV model ⋮ Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs ⋮ Optimal investment and reinsurance under the gamma process ⋮ A note on optimal insurance risk control with multiple reinsurers ⋮ Derivatives trading for insurers ⋮ Optimal Dynamic Risk Control for Insurers with State-Dependent Income ⋮ Optimal excess-of-loss reinsurance and investment polices under the CEV model ⋮ Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle ⋮ Continuous-time optimal reinsurance strategy with nontrivial curved structures ⋮ Minimizing the probability of ruin: optimal per-loss reinsurance ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games

Cites Work

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• Stochastics. Theory and applications.
• Optimal control of risk exposure, reinsurance and investments for insurance portfolios
• Optimal risk and dividend distribution control models for an insurance company
• Dependent risks and excess of loss reinsurance
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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