scientific article; zbMATH DE number 5027121

MaRDI QIDQ5469820zbMATH OpenFDO

Authors Aixiang Wang, Chenglin Qin

Publication date 26 May 2006

zbMATH Keywords

HJB equationverification theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

Recommendations

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• Optimal reinsurance for variance related premium calculation principles
• Optimality of excess-loss reinsurance under a mean-variance criterion
• Optimal reinsurance under the standard deviation principle
• Mean-Variance Optimal Reinsurance Arrangements

Cited in

(6)

• Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint
• Exchangeability hypothesis and initial premium feasibility in \(XL\) reinsurance with reinstatements
• Optimality of excess-loss reinsurance under a mean-variance criterion
• Optimal reinsurance under mean-variance premium principles
• Optimal Dynamic XL Reinsurance
• Calculation of the maximum retentions in XL reinsurance

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