Optimal proportional reinsurance under dependent risks
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Cites work
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- Dependent risks and excess of loss reinsurance
- Financial Modelling with Jump Processes
- On a correlated aggregate claims model with thinning-dependence structure
- On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
- Optimal Dynamic XL Reinsurance
- Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
- Reinsurance control in a model with liabilities of the fractional Brownian motion type
- Some mathematical aspects of reinsurance
Cited in
(14)- The influence of correlation and loading on M-V efficient retentions in variable quota share proportional reinsurance
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- Optimal excess of loss reinsurance for a correlated risk model with thinning-dependence structure
- Optimal reinsurance of a dependent multi-type risk model under variance reinsurance premium principle
- scientific article; zbMATH DE number 5629903 (Why is no real title available?)
- Optimal quota share reinsurance for dependent lines of business
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
- Optimal reinsurance of dependent risks
- The optimal reinsurance problem towards joint interests of the insurer and the reinsurer with dependent risks
- Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance
- Optimal proportional reinsurance with common shock dependence
- Optimal reinsurance based on dependent risk model
- Optimal reinsurance in a compound Poisson risk model with dependence
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