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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

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

A BSDE-based approach for the optimal reinsurance problem under partial information

Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012419211

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 reinsurance to minimize the discounted probability of ruin under ambiguity

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

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

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

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

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

Minimizing the probability of ruin : optimal per-loss reinsurance

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

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

Optimal proportional reinsurance and investment for stochastic factor models

Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 87 (2019), pp. 15-33

Persistent link: https://www.econbiz.de/10012058904

An evolutionary strategy for multiobjective reinsurance optimization

Román, Sebastián; Villegas, Andrés M.; Villegas, Juan G. - In: Journal of the Operational Research Society 69 (2018) 10, pp. 1661-1677

Persistent link: https://www.econbiz.de/10012229185