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Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

Li, Danping; Rong, Ximin; Zhao, Hui - In: Insurance / Mathematics & economics 64 (2015), pp. 28-44

Persistent link: https://www.econbiz.de/10011396861

Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model

Gu, Ailing; Chen, Shumin; Li, Zhongfei; Viens, Frederi G. - In: Scandinavian actuarial journal 2022 (2022) 9, pp. 749-774

Persistent link: https://www.econbiz.de/10013419039

Optimal reinsurance policies with two reinsurers in continuous time

Meng, Hui; Zhou, Ming; Siu, Tak Kuen - In: Economic modelling 59 (2016), pp. 182-195

Persistent link: https://www.econbiz.de/10011647797

Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model

Gu, Ailing; Viens, Frederi G.; Shen, Yang - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 342-375

Persistent link: https://www.econbiz.de/10012262741

The effect of reinsurance on the degree of risk associated with an insurer's portfolio

Andreadakis, Maria; Waters, Howard - 1981

Persistent link: https://www.econbiz.de/10001831465

Optimal investment and reinsurance for an insurer under Markov-modulated financial market

Xu, Lin; Zhang, Liming; Yao, Dingjun - In: Insurance / Mathematics & economics 74 (2017), pp. 7-19

Persistent link: https://www.econbiz.de/10011712331

Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling

Zhang, Xin; Meng, Hui; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 125-132

Persistent link: https://www.econbiz.de/10011457200

Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin

Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R. - In: Insurance / Mathematics & economics 92 (2020), pp. 128-146

Persistent link: https://www.econbiz.de/10012242047

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 … 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 …

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

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