Optimal risk control for the excess of loss reinsurance policies

DOI10.2143/AST.40.1.2049224zbMATH Open1230.91079MaRDI QIDQ3569710FDOQ3569710

Xin Zhang, Hui Meng

Publication date: 21 June 2010

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Optimal dynamic reinsurance policies for large insurance portfolios
• Title not available (Why is that?)
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Aspects of risk theory
• On minimizing the ruin probability by investment and reinsurance
• Optimal risk and dividend distribution control models for an insurance company
• Optimal control of risk exposure, reinsurance and investments for insurance portfolios
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
• Dependent risks and excess of loss reinsurance
• Properties of functions of the excess of loss retention limit with applications
• Stochastics. Theory and applications.

Cited In (25)

• Optimality of excess-loss reinsurance under a mean-variance criterion
• Optimal Dynamic Risk Control for Insurers with State-Dependent Income
• 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 investment and reinsurance under the gamma process
• OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
• Derivatives trading for insurers
• Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
• Minimizing ruin probability under the Sparre Anderson model
• Optimal Insurance and Reinsurance Policies in the Risk Process
• Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
• Optimal reinsurance under dynamic VaR constraint
• Continuous-time optimal reinsurance strategy with nontrivial curved structures
• Optimal reinsurance arrangement under heterogeneous beliefs: a unified method with piecewise modification
• Optimal excess-of-loss reinsurance and investment polices under the CEV model
• Optimal portfolio and reinsurance with two differential risky assets
• Optimization problems of excess-of-loss reinsurance and investment under the CEV model
• Multiple per-claim reinsurance based on maximizing the Lundberg exponent
• Optimal reinsurance and investment problem with multiple risky assets and correlation risk for an insurer under the Ornstein-Uhlenbeck model
• Optimal reinsurance: minimize the expected time to reach a goal
• A note on optimal insurance risk control with multiple reinsurers
• Robust reinsurance and investment strategies under principal-agent framework
• Minimizing the probability of ruin: optimal per-loss reinsurance
• Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs

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