Optimal reinsurance/investment problems for general insurance models
From MaRDI portal
(Redirected from Optimal reinsurance/investment problems for general insurance models)
Abstract: In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, representing the randomness from the financial market and the insurance claims, respectively. The random safety loading and stochastic interest rates are allowed in the model so that the reserve process is non-Markovian in general. The insurance company can manage the reserves through both portfolios of the investment and a reinsurance policy to optimize a certain utility function, defined in a generic way. The main feature of the problem lies in the intrinsic constraint on the part of reinsurance policy, which is only proportional to the claim-size instead of the current level of reserve, and hence it is quite different from the optimal investment/consumption problem with constraints in finance. Necessary and sufficient conditions for both well posedness and solvability will be given by modifying the ``duality method in finance and with the help of the solvability of a special type of backward stochastic differential equations.
Recommendations
- Optimal investment and reinsurance for risk models
- Optimal reinsurance under general risk measures
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal investment and reinsurance of an insurer with model uncertainty
- Optimal reinsurance and investment problem in a defaultable market
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Optimal reinsurance with general risk measures
- Optimal investment problem for an insurer and a reinsurer
- Optimal reinsurance and investment in a diffusion model
- Optimal reinsurance and investment for Ornstein-Uhlenbeck model
Cites work
- Backward stochastic differential equations with continuous coefficient
- Convex Analysis
- Convex duality in constrained portfolio optimization
- Forward-backward stochastic differential equations and their applications
- Hedging contingent claims with constrained portfolios
- scientific article; zbMATH DE number 4032883 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 3333061 (Why is no real title available?)
- scientific article; zbMATH DE number 3364606 (Why is no real title available?)
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- On solutions of backward stochastic differential equations with jumps and applications
- Optimal proportional reinsurance policies for diffusion models
- Ruin Probabilities for Insurance Models Involving Investments
- Ruin probabilities via local adjustment coefficients
Cited in
(47)- Alpha-robust mean-variance reinsurance-investment strategy
- Optimal dividend and investment problems under Sparre Andersen model
- Non-zero-sum reinsurance games subject to ambiguous correlations
- Robust optimal investment and reinsurance problem for a general insurance company under Heston model
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- A BSDE-based approach for the optimal reinsurance problem under partial information
- Minimizing the probability of absolute ruin under ambiguity aversion
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- Optimality of excess-loss reinsurance under a mean-variance criterion
- A pair of optimal reinsurance-investment strategies in the two-sided exit framework
- Worst-case-optimal dynamic reinsurance for large claims
- Optimal proportional reinsurance and investment for stochastic factor models
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Stochastic control problems for systems driven by normal martingales
- Optimal proportional reinsurance and investment under partial information
- Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
- Robust optimal investment and reinsurance for an insurer with inside information
- Robust non-zero-sum stochastic differential reinsurance game
- Minimax martingale method for optimal investment-reinsurance problem in a general insurance company risk model
- Optimal investment and risk control for an insurer under inside information
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- A class of nonzero-sum investment and reinsurance games subject to systematic risks
- A class of non-zero-sum stochastic differential investment and reinsurance games
- scientific article; zbMATH DE number 6135077 (Why is no real title available?)
- Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
- Expected utility maximization for an insurer with investment and risk control under inside information
- Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
- Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Stable solutions for optimal reinsurance problems involving risk measures
- On optimal investment in a reinsurance context with a point process market model
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- Exponential growth BSDE driven by a marked point process
- Constrained stochastic linear quadratic control under regime switching with controlled jump size
- Optimal self-protection via BSDEs for risk models with jump clusters
- Portfolio and reinsurance optimization under unknown market price of risk
- Optimal investment and reinsurance under exponential forward preferences
- An integrated framework for indicator-based decision analysis in proportional-XL reinsurance
- Robust optimal reinsurance-investment strategy for an alpha-max/min mean-variance insurer with delay
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimal reinsurance and investment in a diffusion model
This page was built for publication: Optimal reinsurance/investment problems for general insurance models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q835068)
