A note on optimal insurance risk control with multiple reinsurers

DOI10.1016/J.CAM.2016.12.034zbMATH Open1357.93105OpenAlexW2567722291MaRDI QIDQ515748FDOQ515748

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

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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)

Cites Work

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

Cited In (7)

• Optimal reinsurance under a new design: two layers and multiple reinsurers
• Optimal insurance risk control with 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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