A note on optimal insurance risk control with multiple reinsurers

DOI10.1016/J.CAM.2016.12.034MaRDI QIDQ515748zbMATH OpenOpenAlexFDO

Authors Hui Meng, Tak Kuen Siu, Hailiang Yang

Publication date 16 March 2017

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10722/246118

zbMATH Keywords

multiple reinsurersLagrangian functionenlargement of reinsurance spaceoptimal reinsurance treatiesvariance premium principles

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20)

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Cites work

• Characterizations of optimal reinsurance treaties: a cost-benefit approach
• Impulse control of proportional reinsurance with constraints
• OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
• Optimal VaR-based risk management with reinsurance
• Optimal impulse control with variance premium principle
• Optimal insurance risk control with multiple reinsurers
• Optimal mixed impulse-equity insurance control problem with reinsurance
• Optimal reinsurance arrangements in the presence of two reinsurers
• Optimal risk control for the excess of loss reinsurance policies
• Optimal risk transfer under quantile-based risk measurers
• The role of a representative reinsurer in optimal reinsurance

Cited in

(7)

• Optimal insurance risk control with multiple reinsurers
• Optimal reinsurance under a new design: two layers and multiple reinsurers
• Stochastic differential game strategies in the presence of reinsurance and dividend payout
• Continuous-time optimal reinsurance strategy with nontrivial curved structures
• Multiple per-claim reinsurance based on maximizing the Lundberg exponent
• A two-layer stochastic game approach to reinsurance contracting and competition
• Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process

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