Optimal reinsurance under a new design: two layers and multiple reinsurers

DOI10.1080/14697688.2024.2349019MaRDI QIDQ6587741zbMATH OpenFDO

Authors Dingjun Yao, Jinxia Zhu

Publication date 14 August 2024

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
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• An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
• Aspects of risk theory
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Dividends and reinsurance under a penalty for ruin
• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• Optimal dividend and equity issuance problem with proportional and fixed transaction costs
• Optimal dividend and reinsurance in the presence of two reinsurers
• Optimal dividend payouts for diffusions with solvency constraints
• Optimal dividend problem with a nonlinear regular-singular stochastic control
• Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Optimal reinsurance arrangements in the presence of two reinsurers
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach
• Optimal reinsurance with expectile
• 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 and liquidity management with costly refinancing opportunities
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal risk control and dividend policies under excess of loss reinsurance
• Optimal risk transfer under quantile-based risk measurers

Cited in

(1)

• A two-layer stochastic game approach to reinsurance contracting and competition

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