On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
From MaRDI portal
Publication:4661697
DOI10.2143/AST.34.1.504955zbMath1095.91033MaRDI QIDQ4661697
Morten Hald, Hanspeter Schmidli
Publication date: 30 March 2005
Published in: ASTIN Bulletin (Search for Journal in Brave)
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (28)
Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models ⋮ Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ Optimal investment and proportional reinsurance in the Sparre Andersen model ⋮ Upper bounds for ruin probabilities under model uncertainty ⋮ Optimal dynamic reinsurance with dependent risks: variance premium principle ⋮ Optimal proportional reinsurance under dependent risks ⋮ Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model ⋮ Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables ⋮ OPTIMAL PROPORTIONAL REINSURANCE UNDER TWO CRITERIA: MAXIMIZING THE EXPECTED UTILITY AND MINIMIZING THE VALUE AT RISK ⋮ Optimal proportional reinsurance with common shock dependence ⋮ Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence ⋮ RUIN PROBABILITIES UNDER AN OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE POLICY IN A JUMP DIFFUSION RISK PROCESS ⋮ Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model ⋮ Optimal Proportional Reinsurance and Ruin Probability ⋮ An optimal reinsurance problem in the Cramér-Lundberg model ⋮ Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods ⋮ Large deviations for risk processes with reinsurance ⋮ Optimal reinsurance in a compound Poisson risk model with dependence ⋮ Optimal layer reinsurance on the maximization of the adjustment coefficient ⋮ Optimal investment and proportional reinsurance with constrained control variables ⋮ Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model ⋮ OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models ⋮ Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin ⋮ Ruin-based risk measures in discrete-time risk models ⋮ Optimisation in Non-Life Insurance ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
Cites Work
This page was built for publication: On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance