Results 1 to 10 of about 343 (134)
Time-consistent robust investment-reinsurance strategy with common shock dependence under CEV model. [PDF]
PLoS ONEThis paper investigates the optimal robust equilibrium investment and reinsurance strategy in a model with common shock dependent claims for an ambiguity-averse insurer (AAI). Suppose that the insurance company can purchase proportional reinsurance whose
Lu Li, Zhijian Qiu
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Optimal reinsurance designs based on risk measures: a review
Statistical Theory and Related Fields, 2020 Reinsurance is an effective way for an insurance company to control its risk. How to design an optimal reinsurance contract is not only a key topic in actuarial science, but also an interesting research question in mathematics and statistics.
Jun Cai, Yichun Chi
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Optimal Reinsurance with Heterogeneous Reference Probabilities
Risks, 2016 This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extended Wang’s premium principle.
Tim J. Boonen
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Risks, 2017 Optimal forms of reinsurance policies have been studied for a long time in the actuarial literature. Most existing results are from the insurer’s point of view, aiming at maximizing the expected utility or minimizing the risk of the insurer.
Wenjun Jiang +2 more
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Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance [PDF]
Journal of Inequalities and Applications, 2018 This paper investigates optimal investment and reinsurance policies for an insurance company under a correlated risk model with common Poisson shocks. The goal of the insurance company is to minimize the ultimate ruin probability.
Lin Xu, Minghan Wang, Bin Zhang
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Optimal Reinsurance Problem under Fixed Cost and Exponential Preferences
Mathematics, 2021 We investigate an optimal reinsurance problem for an insurance company taking into account subscription costs: that is, a constant fixed cost is paid when the reinsurance contract is signed.
Matteo Brachetta, Claudia Ceci
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Optimal excess of loss reinsurance-barrier dividend strategies with investment
Shenzhen Daxue xuebao. Ligong ban, 2022 The optimal barrier dividend problem under excess of loss reinsurance strategy has rarely been studied so far. We combine the risk factors such as market friction and terminal residual value with risk investment and risk control strategy, and study the ...
SUN Zongqi +3 more
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Designing of Optimal Reinsurance Indemnity
Mathematics, 2022 This paper contributes to relevant research in the area of optimal reinsurance indemnity and deals with the risk measures that are used in reinsurance. The research aims at finding optimal reinsurance contracts under different risk levels.
Viktorija Skvarciany +1 more
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Reinsurance Policy under Interest Force and Bankruptcy Prohibition
Axioms, 2023 In this paper, we solve an optimal reinsurance problem in the mathematical finance area. We assume that the surplus process of the insurance company follows a controlled diffusion process and the constant interest rate is involved in the financial model.
Yangmin Zhong, Huaping Huang
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Axioms, 2023 This paper studies insurance companies’ optimal reinsurance–investment strategy under the stochastic interest rate and stochastic volatility model, taking the HARA utility function as the optimal criterion.
Honghan Bei +4 more
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