Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments

DOI10.1134/S0005117920090076MaRDI QIDQ828560zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

probabilistic constraintrisk processoptimal insurance

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Recommendations

• 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
• Optimal insurance strategies in a risk process with restrictions on policyholder risks
• Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint
• Optimal reinsurance under dynamic VaR constraint

Cites work

• scientific article; zbMATH DE number 3145638 (Why is no real title available?)
• scientific article; zbMATH DE number 3748742 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Optimal Dynamic XL Reinsurance
• Optimal Insurance and Reinsurance Policies in the Risk Process
• Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital
• Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
• Optimal non-proportional reinsurance control
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
• Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model
• Problems in stochastic programming with probabilistic criteria

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

This page was built for publication: Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q828560)