Results 21 to 30 of about 393 (179)
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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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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OPTIMIZATION OF SOME REINSURANCE STRATEGIES [PDF]
Radio Electronics, Computer Science, Control, 2014 The basic purpose of the work is a study of existing approaches to reinsurance directed towards modeling of distribution and minimization of risk for an insurance portfolio, and forming a strategy for its optimal reinsurance using developed decision support system. A method for a search of optimal reinsurance strategy is proposed.
Kozhukhivska, O. A. +3 more
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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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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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How Does Reinsurance Create Value to an Insurer? A Cost-Benefit Analysis Incorporating Default Risk
Risks, 2016 Reinsurance is often empirically hailed as a value-adding risk management strategy which an insurer can utilize to achieve various business objectives.
Ambrose Lo
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RACSAM - Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas, 2009 info:eu-repo/semantics ...
Centeno, M. de Lourdes +1 more
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Journal of Function Spaces, 2019 This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg ...
Yuzhen Wen, Chuancun Yin
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