Cogent Economics & Finance, 2019 We solve the problem of an insurer who decides to optimally allocate a proportion (1—a(t)) of premiums to a re-insurance company (thereby retaining a proportion a(t) of premiums) and who also has to optimally pay dividends c(t) at any time t to ...
Sure Mataramvura
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Minimizing an Insurer’s Ultimate Ruin Probability by Reinsurance and Investments
Mathematical and Computational Applications, 2019 In this paper, we work with a diffusion-perturbed risk model comprising a surplus generating process and an investment return process. The investment return process is of standard a Black⁻Scholes type, that is, it comprises a single risk-free asset
Christian Kasumo
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Providing pandemic business interruption coverage with double trigger cat bonds. [PDF]
Geneva Pap Risk Insur Issues Pract, 2023 Schmitt A, Spaeter S.
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Ruin probabilities in a finite-horizon risk model with investment and reinsurance [PDF]
A finite horizon insurance model is studied where the risk/reserve process can be controlled by reinsurance and investment in the financial market. Obtaining explicit optimal solutions for the minimizing ruin probability problem is a difficult task ...
Rosario Romera, Wolfgang Runggaldier
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Optimal Layer Reinsurance for Compound Fractional Poisson Model
Discrete Dynamics in Nature and Society, 2019 In this paper, we study the optimal retentions for an insurer with a compound fractional Poisson surplus and a layer reinsurance treaty. Under the criterion of maximizing the adjustment coefficient, the closed form expressions of the optimal results are ...
Jiesong Zhang
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On automatic bias reduction for extreme expectile estimation. [PDF]
Stat Comput, 2022 Girard S +2 more
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Optimisation of the structure of active reinsurance by directions (countries) Оптимизация структуры активного перестрахования по направлениям (странам) [PDF]
Problemi Ekonomiki, 2013 The article analyses modern tendencies of development of the Ukrainian reinsurance market. It justifies urgency of development of an adequate state policy of carrying out active reinsurance and conduct of active risk diversification.
Kuzmenko Olga V.
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Editorial for special issue on advances in Actuarial Science and quantitative finance. [PDF]
Methodol Comput Appl Probab, 2022 Feng R +3 more
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Модель прогнозування визначення коефіцієнта власного утримання у перестрахуванні [PDF]
, 2011 Нижче представлена модель факультативного квотно-пропорційного перестрахування, яка визначає доцільність перестрахування на основі заданих критеріїв.
Ковтун, Д. В. +1 more
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Optimal mean-variance investment and reinsurance strategies with a general Lévy process risk model
Systems Science & Control EngineeringThis paper is concerned with the optimal time-consistent investment and reinsurance strategies for mean-variance insurers with a general Lévy Process model.
Haoran Yi +3 more
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