Results 11 to 20 of about 11,053 (219)
Journal of MathematicsThis study examines optimal investment and reinsurance strategies for two competing insurers who are concerned with their relative performance. Each insurer can purchase reinsurance and invest in a financial market consisting of one risk-free asset and ...
Winfrida Felix Mwigilwa
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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 Dynamic Reinsurance [PDF]
ASTIN Bulletin, 2006 We consider a classical surplus process where the insurer can choose a different level of reinsurance at the start of each year. We assume the insurer’s objective is to minimise the probability of ruin up to some given time horizon, either in discrete or continuous time. We develop formulae for ruin probabilities under the optimal reinsurance strategy,
DICKSON, D., WATERS, H.
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Optimal reinsurance: a reinsurer’s perspective [PDF]
Annals of Actuarial Science, 2017 AbstractIn this paper, the optimal safety loading that the reinsurer should set in the reinsurance pricing is studied, which is novel in the literature. It is first assumed that the insurer will choose the form of the reinsurance contract by following the results derived in Cai et al.
Huang, Fei, Yu, Honglin
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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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Optimal reinsurance with default risk: A reinsurer's perspective
Journal of Industrial & Management Optimization, 2021 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chen, Tao +4 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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Optimal Dynamic XL Reinsurance [PDF]
ASTIN Bulletin, 2003 We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a verification theorem. Numerical examples with exponential,
Hipp, Christian, Vogt, Michael
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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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