Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle

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Cites work

Benchmark and mean-variance problems for insurers
Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
Controlled Markov processes and viscosity solutions
scientific article; zbMATH DE number 3671542 (Why is no real title available?)
Mean-variance portfolio selection for a non-life insurance company
Minimizing the probability of ruin: optimal per-loss reinsurance
On minimizing the ruin probability by investment and reinsurance
Optimal combination of quota-share and stop-loss reinsurance treaties under the joint survival probability
Optimal dynamic reinsurance with dependent risks: variance premium principle
Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
Optimal investment and reinsurance in a jump diffusion risk model
Optimal investment-reinsurance policy with stochastic interest and inflation rates
Optimal investment-reinsurance with dynamic risk constraint and regime switching
Optimal non-proportional reinsurance control and stochastic differential games
Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
Optimal reinsurance under variance related premium principles
Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
Stochastic Pareto-optimal reinsurance policies
The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model
Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model

Cited in

(9)

Optimal reinsurance strategy under fixed cost and delay
Optimal reinsurance under variance related premium principles
Optimal dynamic reinsurance with dependent risks: variance premium principle
Pareto-optimal reinsurance for both the insurer and the reinsurer with general premium principles
The optimal reinsurance strategy under conditional tail expectation (CTE) and Wang's premium principle
Optimal claim-dependent proportional reinsurance under a self-exciting claim model
An equilibrium model of reinsurance pricing
Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
Robust optimal dividend-reinsurance-financing problems under standard deviation premium principle

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