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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

premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton … company can borrow and invest money at a constant real-valued risk-free interest rate r. Our model allows for stochastic risk …

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

Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

Li, Danping; Young, Virginia R. - In: Insurance 87 (2019), pp. 143-152

Persistent link: https://www.econbiz.de/10012058937

Quantifying distributional model risk via optimal transport

Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600

Persistent link: https://www.econbiz.de/10012028635

Minimizing the probability of ruin : optimal per-loss reinsurance

Liang, Xiaoqing; Young, Virginia R. - In: Insurance 82 (2018), pp. 181-190

Persistent link: https://www.econbiz.de/10011929867

Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches

Strietzel, Philipp Lukas; Heinrich, Henriette Elisabeth - In: Risks : open access journal 10 (2022) 6, pp. 1-23

We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the …

Persistent link: https://www.econbiz.de/10013363123

Computational framework for longevity risk management

D'Amato, Valeria; Haberman, Steven; Piscopo, Gabriella; … - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 111-137

Persistent link: https://www.econbiz.de/10010251207

Duality in ruin problems for ordered risk models

Goffard, Pierre-Olivier; Lefevre, Claude - In: Insurance 78 (2018), pp. 44-52

Persistent link: https://www.econbiz.de/10011825076

On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models

Ji, Lanpeng - In: Scandinavian actuarial journal 2020 (2020) 9, pp. 819-842

Persistent link: https://www.econbiz.de/10012313740

Pareto Optimal Allocations and Optimal Risk Sharing for Quasiconvex Risk Measures

Mastrogiacomo, Elisa - 2014

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …

Persistent link: https://www.econbiz.de/10013060083

Some optimal dividend problems in a Markov-modulated risk model

Li, Shuanming (contributor); Lu, Yi (contributor) - 2006

Persistent link: https://www.econbiz.de/10003297887