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Optimal non-proportional reinsurance control and stochastic differential games

Taksar, Michael I.; Zeng, Xudong - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 64-71

Persistent link: https://www.econbiz.de/10008839763

Optimal reinsurance with a rescuing procedure

Zeng, Xudong - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 397-405

Persistent link: https://www.econbiz.de/10003966603

Stochastic Pareto-optimal reinsurance policies

Zeng, Xudong; Luo, Shangzhen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 671-677

Persistent link: https://www.econbiz.de/10010227906

Non-zero-sum stochastic differential reinsurance and investment games with default risk

Deng, Chao; Zeng, Xudong; Zhu, Huiming - In: European journal of operational research : EJOR 264 (2018) 3, pp. 1144-1158

Persistent link: https://www.econbiz.de/10011802353

Non-Zero-Sum Stochastic Differential Reinsurance and Investment Games with Default Risk

Deng, Chao - 2018

This paper investigates implications of strategic interaction (competition) between two CARA insurers on their reinsurance and investment policies. The two insurers are concerned about their terminal wealth as well as the relative performance measured by the difference between their terminal...

Persistent link: https://www.econbiz.de/10012937259

Optimal risk control and dividend distribution policies : example of excess-of loss reinsurance for an insurance corporation

Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael I. - In: Finance and stochastics 4 (2000) 3, pp. 299-324

Persistent link: https://www.econbiz.de/10001487076

Optimal dynamic reinsurance policies for large insurance portfolios

Taksar, Michael I.; Markussen, Charlotte - In: Finance and stochastics 7 (2003) 1, pp. 97-121

Persistent link: https://www.econbiz.de/10001724646

Optimal non-proportional reinsurance control

Hipp, Christian; Taksar, Michael I. - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 246-254

Persistent link: https://www.econbiz.de/10008654238

Optimal excess-of-loss reinsurance under borrowing constraints

Luo, Shangzhen; Taksar, Michael I. - In: Risk and decision analysis 2 (2010/11) 2, pp. 103-123

Persistent link: https://www.econbiz.de/10009304894

Excess-of-loss reinsurance under taxes and fixed costs

Choulli, Tahir; Taksar, Michael I. - In: Risk and decision analysis 2 (2010/11) 2, pp. 85-101

Persistent link: https://www.econbiz.de/10009304895