Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility

DOI10.1007/s12190-010-0385-8zbMath1232.93100OpenAlexW1970232156MaRDI QIDQ545562

Jun-Yi Guo, Zhibin Liang

Publication date: 22 June 2011

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

Full work available at URL: https://doi.org/10.1007/s12190-010-0385-8

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdiffusion approximationexpected utilitycompound Poisson processexcess of loss reinsurancequota-share reinsurance

Mathematics Subject Classification ID

Related Items (18)

Optimality of excess-loss reinsurance under a mean-variance criterion ⋮ Optimal reinsurance under dynamic VaR constraint ⋮ Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer ⋮ Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process ⋮ Optimal per-loss reinsurance and investment to minimize the probability of drawdown ⋮ Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business ⋮ Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables ⋮ Optimal investment and excess of loss reinsurance with short-selling constraint ⋮ Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle ⋮ Minimizing the probability of absolute ruin under ambiguity aversion ⋮ Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks ⋮ Stochastic differential reinsurance games with capital injections ⋮ Optimal stop-loss reinsurance with joint utility constraints ⋮ Continuous-time optimal reinsurance strategy with nontrivial curved structures ⋮ Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks ⋮ Reinsurance contract design with adverse selection ⋮ Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets ⋮ Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework

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