Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments
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Publication:828560
DOI10.1134/S0005117920090076zbMATH Open1454.91188OpenAlexW3096093077MaRDI QIDQ828560FDOQ828560
Authors: A. Yu. Golubin, V. N. Gridin 
Publication date: 9 January 2021
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0005117920090076
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Cites Work
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- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
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- Optimal non-proportional reinsurance control
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- Problems in stochastic programming with probabilistic criteria
- Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
- Optimal Insurance and Reinsurance Policies in the Risk Process
- Optimal Dynamic XL Reinsurance
- Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital
Cited In (6)
- Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process
- Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital
- The effect of risk constraints on the optimal insurance policy
- Optimal exercise strategies for operational risk insurance via multiple stopping times
- An adaptive strategy for offering m-out-of-n insurance policies
- An insurer's optimal strategy towards a new independent business
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