Similar Search Results

Marginal Indemnification Function formulation for optimal reinsurance

Zhuang, Sheng Chao; Weng, Chengguo; Ken Seng Tan; Assa, … - In: Insurance / Mathematics & economics 67 (2016), pp. 65-76

Persistent link: https://www.econbiz.de/10011457155

Optimal robust insurance with a finite uncertainty set

Asimit, Alexandru V.; Hu, Junlei; Xie, Yuantao - In: Insurance / Mathematics & economics 87 (2019), pp. 67-81

Persistent link: https://www.econbiz.de/10012058915

Multi-constrained optimal reinsurance model from the duality perspectives

Cheung, Ka Chun; He, Wanting; Wang, He - In: Insurance / Mathematics & economics 113 (2023), pp. 199-214

Persistent link: https://www.econbiz.de/10014466212

Stable solutions for optimal reinsurance problems involving risk measures

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 214 (2011) 3, pp. 796-804

Persistent link: https://www.econbiz.de/10009316167

Some optimisation problems in insurance with a terminal distribution constraint

Colaneri, Katia; Eisenberg, Julia; Salterini, Benedetta - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 655-678

Persistent link: https://www.econbiz.de/10014383890

Optimal investment and proportional reinsurance with risk constraint

Liu, Jingzhen; Yiu, Ka Fai Cedric; Loxton, Ryan C.; … - In: Journal of mathematical finance 3 (2013) 4, pp. 437-447

Persistent link: https://www.econbiz.de/10010240806

Optimal risk allocation in reinsurance networks

Bäuerle, Nicole; Glauner, Alexander - In: Insurance / Mathematics & economics 82 (2018), pp. 37-47

Persistent link: https://www.econbiz.de/10011929783

CDF formulation for solving an optimal reinsurance problem

Weng, Chengguo; Zhuang, Sheng Chao - In: Scandinavian actuarial journal (2017) 5, pp. 395-418

Persistent link: https://www.econbiz.de/10011772196

Risk reducers in convex order

He, Junnan; Tang, Qihe; Zhang, Huan - In: Insurance / Mathematics & economics 70 (2016), pp. 80-88

Persistent link: https://www.econbiz.de/10011597183

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks : open access journal 7 (2019) 2/48, pp. 1-23

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the … premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton …-Jacobi-Bellman equation, we analyze the optimal reinsurance strategy under the criterion of maximizing the expected exponential utility of the …

Persistent link: https://www.econbiz.de/10012019228