Optimal dynamic risk control for insurers with state-dependent income
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Publication:5169735
DOI10.1239/JAP/1402578634zbMATH Open1291.93334OpenAlexW2090697813MaRDI QIDQ5169735FDOQ5169735
Publication date: 11 July 2014
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1402578634
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Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Optimal stochastic control (93E20)
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Cited In (12)
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Background risk and the demand for state-contingent claims
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Minimizing the probability of absolute ruin under ambiguity aversion
- OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- Continuous-time optimal reinsurance strategy with nontrivial curved structures
- Optimal reinsurance arrangement under heterogeneous beliefs: a unified method with piecewise modification
- Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
- Multiple per-claim reinsurance based on maximizing the Lundberg exponent
- Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
- Minimizing the probability of ruin: optimal per-loss reinsurance
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