scientific article; zbMATH DE number 5629903

zbMATH Open1199.91087MaRDI QIDQ3640355FDOQ3640355

Authors: Jianfa Cong, Zhongfei Li 

Publication date: 11 November 2009

Title of this publication is not available (Why is that?)

Recommendations

• On the optimality of proportional reinsurance
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal proportional reinsurance from the point of view of cedent and reinsurer
• Optimal proportional reinsurance policies for stochastic models
• Optimal proportional reinsurance with a loss-dependent premium principle
• 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

zbMATH Keywords

dynamic programmingruin probabilitynecessary conditionoptimal reinsurance strategydiscrete-time risk process

Mathematics Subject Classification ID

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

Cited In (1)

• Discrete-time insurance model with capital injections and reinsurance

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3640355)