On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance
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Publication:3607219
zbMATH Open1164.60012MaRDI QIDQ3607219FDOQ3607219
Authors: Hanspeter Schmidli 
Publication date: 28 February 2009
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- scientific article; zbMATH DE number 1984194
- Optimal Proportional Reinsurance and Ruin Probability
Hamilton-Jacobi-Bellman equationoptimal stochastic controlruin probabilityheavy tailadjustment coefficientexcess of loss reinsuranceCramér-Lundberg approximation
Numerical optimization and variational techniques (65K10) Large deviations (60F10) Signal detection and filtering (aspects of stochastic processes) (60G35)
Cited In (10)
- Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model
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- On ruin probability minimization under excess reinsurance
- Large deviations for a model of excess of loss re-insurance
- Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
- Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model
- Coupling and explicit rate of convergence in Cramér-Lundberg approximation for reinsurance risk processes
- Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
- Optimal dynamic reinsurance strategies in multidimensional portfolio
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