Optimal non-proportional reinsurance control
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References listed on IDEAS
- Hipp, Christian & Vogt, Michael, 2003. "Optimal Dynamic XL Reinsurance," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(02), pages 193-207, November.
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- Jang, Bong-Gyu & Kim, Kyeong Tae, 2015. "Optimal reinsurance and asset allocation under regime switching," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 37-47.
- Meng, Hui & Zhou, Ming & Siu, Tak Kuen, 2016. "Optimal reinsurance policies with two reinsurers in continuous time," Economic Modelling, Elsevier, vol. 59(C), pages 182-195.
- Julie Thøgersen, 2016. "Optimal Premium as a Function of the Deductible: Customer Analysis and Portfolio Characteristics," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-19, November.
- Taksar, Michael & Zeng, Xudong, 2011. "Optimal non-proportional reinsurance control and stochastic differential games," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 64-71, January.
- Zhang, Xin & Meng, Hui & Zeng, Yan, 2016. "Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 125-132.
- Zhou, Ming & Yuen, Kam C., 2012. "Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle," Economic Modelling, Elsevier, vol. 29(2), pages 198-207.
- repec:spr:mathme:v:85:y:2017:i:2:d:10.1007_s00186-016-0559-8 is not listed on IDEAS
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KeywordsRuin probabilities XL-reinsurance Controlled diffusions Cramer-Lundberg model Hamilton-Jacobi-Bellman equation Optimal investment control;
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