scientific article; zbMATH DE number 5629903

MaRDI QIDQ3640355zbMATH OpenFDO

Authors Jianfa Cong, Zhongfei Li

Publication date 11 November 2009

zbMATH Keywords

dynamic programmingruin probabilitynecessary conditionoptimal reinsurance strategydiscrete-time risk process

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20)

Recommendations

• On the optimality of proportional reinsurance
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
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• Optimal proportional reinsurance under dependent risks
• Optimal proportional reinsurance-investment policies for an insurer under capital-at-risk constraint
• Optimal proportional reinsurance under two criteria: maximizing the expected utility and minimizing the value at risk
• Optimal dynamic reinsurance strategies in multidimensional portfolio

Cited in

(1)

• Discrete-time insurance model with capital injections and reinsurance

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