Optimal dynamic risk control for insurers with state-dependent income

DOI10.1239/JAP/1402578634MaRDI QIDQ5169735zbMATH OpenOpenAlexFDO

Authors Ming Zhou, Jun Cai

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

zbMATH Keywords

HJB equationexcess-of-loss reinsuranceabsolute ruinliquid reservestate-dependent income

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• A note on Gronwall-Bellman inequality
• Diffusion approximations for a risk process with the possibility of borrowing and investment
• Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
• Insurance with borrowing: first- and second-order approximations
• On absolute ruin minimization under a diffusion approximation model
• On the expectation of total discounted operating costs up to default and its applications
• On the time value of absolute ruin with debit interest
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal proportional reinsurance policies for diffusion models
• Optimal risk and dividend distribution control models for an insurance company
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal risk control for the excess of loss reinsurance policies
• Ruin estimation for a general insurance risk model
• Ruin probabilities

Cited in

(14)

• Minimizing the probability of absolute ruin under ambiguity aversion
• Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
• Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
• Multiple per-claim reinsurance based on maximizing the Lundberg exponent
• Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
• Optimal reinsurance arrangement under heterogeneous beliefs: a unified method with piecewise modification
• Optimality of excess-loss reinsurance under a mean-variance criterion
• Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
• A state dependent reinsurance model
• Background risk and the demand for state-contingent claims
• Minimizing the probability of ruin: optimal per-loss reinsurance
• OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
• Continuous-time optimal reinsurance strategy with nontrivial curved structures
• Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

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