Multiple per-claim reinsurance based on maximizing the Lundberg exponent
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Cites work
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- A note on optimal insurance risk control with multiple reinsurers
- Affine storage and insurance risk models
- Aspects of risk theory
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Continuous-time optimal reinsurance strategy with nontrivial curved structures
- Equilibrium in a Reinsurance Market
- Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
- Measuring the effects of reinsurance by the adjustment coefficient
- Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.
- Minimizing the probability of ruin: optimal per-loss reinsurance
- On minimizing the ruin probability by investment and reinsurance
- On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
- On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal dividend and reinsurance in the presence of two reinsurers
- Optimal dynamic risk control for insurers with state-dependent income
- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
- Optimal insurance risk control with multiple reinsurers
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Optimal non-proportional reinsurance control
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
- Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
- Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal risk control for the excess of loss reinsurance policies
- Optimal risk sharing under distorted probabilities
- Quantile-based risk sharing
- Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
- Ruin probabilities
- Upper bound for ruin probabilities under optimal investment and proportional reinsurance
Cited in
(6)- Optimal insurance contract under mean-variance preference with value at risk constraint
- Fourier methods for the claims amounts of largest claims reinsurance covers
- Minimizing an insurer's probability of ruin with branching businesses
- ECOMOR and LCR reinsurance with gamma-like claims
- Optimal reinsurance strategy based on the Lundberg exponent
- Optimal reinsurance arrangement under heterogeneous beliefs: a unified method with piecewise modification
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