Optimal reinsurance with both proportional and fixed costs

DOI10.1016/j.spl.2015.06.024zbMath1398.91341OpenAlexW836612429MaRDI QIDQ900546

Ming Zhou, Peng Li, Chuan-Cun Yin

Publication date: 22 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.06.024

zbMATH Keywords

fixed costirreversible reinsurancemixed regular control/optimal stopping problemproportional cost

Mathematics Subject Classification ID

Related Items (8)

Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer ⋮ Stochastic differential reinsurance games with capital injections ⋮ Optimal stop-loss reinsurance with joint utility constraints ⋮ Optimal reinsurance-investment and dividends problem with fixed transaction costs ⋮ Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option ⋮ A unifying approach to constrained and unconstrained optimal reinsurance ⋮ A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling ⋮ On minimizing the ultimate ruin probability of an insurer by reinsurance

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