We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the … by a marked point process with dual-predictable projection affected by an environmental factor and that the insurance … premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton …

. The asset modeling framework leads to the proliferation of inappropriate assumptions about the effect of insurance line of … insurance parameter risk. …

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of … visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types … of insurance benefits. These cover single payments at maturity, annuity-type payments and payments at the time of a …

Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a … reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary … probability when no reinsurance is bought. We develop a finite-difference method for solving the (partial integro …

dividends until simultaneous ruin of both branches of an insurance company by showing that the optimal value function satisfies …