Results 21 to 30 of about 11,053 (219)
Optimal Reinsurance with One Insurer and Multiple Reinsurers [PDF]
SSRN Electronic Journal, 2015 In this paper, we consider a one-period optimal reinsurance design model with n reinsurers and an insurer. For very general preferences of the insurer, we obtain that there exists a very intuitive pricing formula for all reinsurers that use a distortion premium principle.
Boonen, T., Tan, K.S., Zhuang, S.C.
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Optimal Asset Allocation for CRRA and CARA Insurers under the Vasicek Interest Rate Model
Discrete Dynamics in Nature and Society, 2022 This paper considers the reinsurance-investment problem with interest rate risks under constant relative risk aversion and constant absolute risk aversion preferences, respectively.
Hanlei Hu, Shaoyong Lai, Hongjing Chen
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On optimal layer reinsurance model [PDF]
Applied Mathematical Sciences, 2019 In this paper, we consider the class of non-proportional reinsurance contracts known as layer reinsurance model or limited stop-loss treaty. With the aim of finding an optimal layer reinsurance, we make the choice of considering an optimization criteria preserving stop-loss order: we derive some conditions of optimality by minimizing insurer risk ...
Antonella Campana, Paola Ferretti
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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 Investment and Reinsurance Policies in a Continuous-Time Model
Mathematics, 2023 In the field of finance and insurance, addressing the optimal investment and reinsurance issue is a focal point for researchers. This paper contemplates the optimal strategy for insurance companies within a model where wealth dynamics adhere to a jump ...
Yan Tong, Tongling Lv, Yu Yan
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Empirical study on optimal reinsurance for crop insurance in China from an insurer's perspective
Journal of Integrative Agriculture, 2015 This study investigates the optimal reinsurance for crop insurance in China in an insurer's perspective using the data from Inner Mongolia, Jilin, and Liaoning, China.
Xian-hua ZHOU +3 more
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Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model
Risks, 2021 In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company’s surplus process is assumed to follow a Brownian
Julia Eisenberg +2 more
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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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Asymptotic Behavior of an Optimal Investment-Reinsurance Problem with General Utility Functions
Discrete Dynamics in Nature and Society, 2022 It is usually extremely difficult to derive an analytical solution to the Hamilton-Jacobi-Bellman (HJB) equation for some optimal control problems under general utility functions, while this paper provides a dual control method to solve the HJB equation ...
Yan Zhang, Peibiao Zhao
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Optimal Reinsurance-Investment Problem under Mean-Variance Criterion with n Risky Assets
Discrete Dynamics in Nature and Society, 2020 Based on the mean-variance criterion, this paper investigates the continuous-time reinsurance and investment problem. The insurer’s surplus process is assumed to follow Cramér–Lundberg model.
Peng Yang
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