Optimal risk control for the excess of loss reinsurance policies

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Cites work

scientific article; zbMATH DE number 158461 (Why is no real title available?)
Aspects of risk theory
Controlled diffusion models for optimal dividend pay-out
Dependent risks and excess of loss reinsurance
On minimizing the ruin probability by investment and 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 control of risk exposure, reinsurance and investments for insurance portfolios
Optimal dynamic reinsurance policies for large insurance portfolios
Optimal risk and dividend distribution control models for an insurance company
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
Properties of functions of the excess of loss retention limit with applications
Stochastics. Theory and applications.

Cited in

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Optimization problems of excess-of-loss reinsurance and investment under the CEV model
Minimizing ruin probability under the Sparre Anderson model
Optimal Insurance and Reinsurance Policies in the Risk Process
Optimal insurance risk control with multiple reinsurers
Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
Robust reinsurance and investment strategies under principal-agent framework
Multiple per-claim reinsurance based on maximizing the Lundberg exponent
Optimal reinsurance arrangement under heterogeneous beliefs: a unified method with piecewise modification
Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Optimality of excess-loss reinsurance under a mean-variance criterion
Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs
Optimal reinsurance and investment problem with multiple risky assets and correlation risk for an insurer under the Ornstein-Uhlenbeck model
Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
Derivatives trading for insurers
Optimal reinsurance: minimize the expected time to reach a goal
Optimal excess-of-loss reinsurance and investment polices under the CEV model
Optimal dynamic risk control for insurers with state-dependent income
Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
Optimal investment and reinsurance under the gamma process
A note on optimal insurance risk control with multiple reinsurers
Optimal reinsurance under dynamic VaR constraint
Minimizing the probability of ruin: optimal per-loss reinsurance
Optimal portfolio and reinsurance with two differential risky assets
Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
Continuous-time optimal reinsurance strategy with nontrivial curved structures

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