Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
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- Applied stochastic control of jump diffusions.
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- Optimal Proportional Reinsurance and Ruin Probability
- Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
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- Optimum consumption and portfolio rules in a continuous-time model
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Upper bound for ruin probabilities under optimal investment and proportional reinsurance
Cited in
(24)- Reinsurance contract design with adverse selection
- Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Optimality of excess-loss reinsurance under a mean-variance criterion
- De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
- Minimizing the probability of absolute ruin under ambiguity aversion
- Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
- Optimal stop-loss reinsurance with joint utility constraints
- Ruin probabilities under optimal combining quota-share and excess of loss reinsurance
- Stochastic differential reinsurance games with capital injections
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- scientific article; zbMATH DE number 4076408 (Why is no real title available?)
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Optimal reinsurance problems with extrapolative claim expectation
- Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
- Optimal reinsurance under dynamic VaR constraint
- Optimal investment and excess of loss reinsurance with short-selling constraint
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- Continuous-time optimal reinsurance strategy with nontrivial curved structures
- Optimal reinsurance-investment problem under mean-variance criterion with n risky assets
- scientific article; zbMATH DE number 3996960 (Why is no real title available?)
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown
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- Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process
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