Optimal dynamic reinsurance with worst-case default of the reinsurer

We consider the optimization problem of a large insurance company that wants to maximize the expected utility of its surplus through the optimal control of the proportional reinsurance. In addition, the insurer is exposed to the risk of default of its reinsurer at the worst possible time, a setting that is closely related to a scenario of the Swiss Solvency Test.

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Year of publication:	2022
Authors:	Korn, Ralf ; Müller, Lukas
Published in:	European Actuarial Journal. - Berlin, Heidelberg : Springer, ISSN 2190-9741. - Vol. 12.2022, 2, p. 879-885
Publisher:	Berlin, Heidelberg : Springer
Subject:	Dynamic proportional reinsurance \| Reinsurer default \| Stress scenario \| Swiss Solvency Test \| Worst-case scenario approach

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1007/s13385-022-00311-7 [DOI]
Source:	EconStor

Persistent link: https://www.econbiz.de/10015191616