Traditional versus non-traditional reinsurance in a dynamic setting

DOI10.1080/03461230310016983zbMath1091.62101MaRDI QIDQ5467665

Nicole Bäuerle

Publication date: 24 May 2006

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230310016983

zbMATH Keywords

optimal control; Hamilton-Jacobi-Bellman equation; diffusion approximation; proportional reinsurance; Cramér-Lundberg risk model; catastrophe bonds

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

90C39: Dynamic programming

60H30: Applications of stochastic analysis (to PDEs, etc.)

Related Items

Markov-modulated diffusion risk models, Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework, Optimal reinsurance design under solvency constraints, Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

Cites Work

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• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation