Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
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Publication:545562
DOI10.1007/S12190-010-0385-8zbMATH Open1232.93100OpenAlexW1970232156MaRDI QIDQ545562FDOQ545562
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
diffusion approximationexpected utilityHamilton-Jacobi-Bellman equationcompound Poisson processexcess of loss reinsurancequota-share reinsurance
Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)
Cites Work
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Cited In (19)
- 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
- Stochastic differential reinsurance games with capital injections
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- 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
- Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework
- Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown
- Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process
- Reinsurance contract design with adverse selection
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