Optimal proportional reinsurance with common shock dependence
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Cites work
- Aspects of risk theory
- Controlled Markov processes and viscosity solutions
- Dependent risks and excess of loss reinsurance
- Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 3381785 (Why is no real title available?)
- Mean-Variance Optimal Reinsurance Arrangements
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- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal investment for insurer with jump-diffusion risk process
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal reinsurance arrangements in the presence of two reinsurers
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under mean-variance premium principles
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Upper bound for ruin probabilities under optimal investment and proportional reinsurance
Cited in
(60)- Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal reinsurance in a compound Poisson risk model with dependence
- Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Optimal stop-loss reinsurance with joint utility constraints
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- Optimal reinsurance-investment problem with dependent risks based on Legendre transform
- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Optimal investment and reinsurance with premium control
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
- Constrained investment-reinsurance optimization with regime switching under variance premium principle
- Contagion modeling between the financial and insurance markets with time changed processes
- Optimal proportional reinsurance and investment for stochastic factor models
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Reinsurance of multiple risks with generic dependence structures
- Optimal multidimensional reinsurance policies under a common shock dependency structure
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market
- Optimal reinsurance of a dependent multi-type risk model under variance reinsurance premium principle
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- Robust optimal investment and reinsurance problems with learning
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
- Optimal excess-of-loss reinsurance and investment with stochastic factor process
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Optimal dividends and reinsurance with capital injection under thinning dependence
- The optimal reinsurance problem towards joint interests of the insurer and the reinsurer with dependent risks
- Optimal proportional reinsurance with a loss-dependent premium principle
- Optimal mean-variance reinsurance with common shock dependence
- Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles
- Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
- A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
- Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
- On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
- A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Optimal claim-dependent proportional reinsurance under a self-exciting claim model
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Stackelberg differential reinsurance and investment game for a dependent risk model with Ornstein-Uhlenbeck process
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- Time-consistent mean-variance risk sharing and reinsurance for an insurance group in a Stackelberg differential game
- On penalized goal-reaching probability minimization with a common shock for an AAI
- The investment and reinsurance game on asset-liability management with common shock dependence under CEV model
- Time-consistent investment and reinsurance strategies under thinning-dependence structure
- Systematic risk in pools
- Risk sensitive control and an optimal reinsurance model of a network of insurance companies
- Static Risk Measures in a Frequency-Severity Framework with Systematic Risk: Application in Reinsurance
- Alpha-maxmin mean-variance reinsurance-investment strategy under negative risk dependence between two markets
- Optimal dividend and proportional reinsurance strategy for the risk model with common shock dependence
- Time-consistent reinsurance-investment hybrid game with delay and default under jump-diffusion model
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