Optimal reinsurance/investment problems for general insurance models

DOI10.1214/08-AAP582zbMath1168.91392arXiv0908.4538MaRDI QIDQ835068

Jin Ma, Yu-Ping Liu

Publication date: 27 August 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.4538

zbMATH Keywords

backward stochastic differential equationsduality methodproportional reinsuranceGirsanov transformationoptimal investmentCramér-Lundberg reserve model

Mathematics Subject Classification ID

Related Items (30)

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 ⋮ Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer ⋮ A pair of optimal reinsurance-investment strategies in the two-sided exit framework ⋮ Robust non-zero-sum stochastic differential reinsurance game ⋮ Optimal reinsurance and investment under common shock dependence between financial and actuarial markets ⋮ Worst-case-optimal dynamic reinsurance for large claims ⋮ Optimal investment and risk control for an insurer under inside information ⋮ Alpha-robust mean-variance reinsurance-investment strategy ⋮ Optimal investment and risk control for an insurer with partial information in an anticipating environment ⋮ Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ A class of nonzero-sum investment and reinsurance games subject to systematic risks ⋮ Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility ⋮ Optimal proportional reinsurance and investment for stochastic factor models ⋮ Optimal reinsurance to minimize the discounted probability of ruin under ambiguity ⋮ Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business ⋮ Optimal reinsurance contract in a Stackelberg game framework: a view of social planner ⋮ Stochastic control problems for systems driven by normal martingales ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ A BSDE-based approach for the optimal reinsurance problem under partial information ⋮ A class of non-zero-sum stochastic differential investment and reinsurance games ⋮ Minimizing the probability of absolute ruin under ambiguity aversion ⋮ Non-zero-sum reinsurance games subject to ambiguous correlations ⋮ Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers ⋮ Optimal proportional reinsurance and investment under partial information ⋮ Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff ⋮ Optimal reinsurance and investment with unobservable claim size and intensity ⋮ Robust investment-reinsurance optimization with multiscale stochastic volatility

Cites Work

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• Optimal proportional reinsurance policies for diffusion models
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Ruin Probabilities for Insurance Models Involving Investments
• Ruin probabilities via local adjustment coefficients
• Convex Analysis

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