Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle

Citations

Cited by:

1. Asimit, Alexandru V. & Boonen, Tim J. & Chi, Yichun & Chong, Wing Fung, 2021. "Risk sharing with multiple indemnity environments," European Journal of Operational Research, Elsevier, vol. 295(2), pages 587-603.
2. Tim J. Boonen & Yuyu Chen & Xia Han & Qiuqi Wang, 2024. "Optimal insurance design with Lambda-Value-at-Risk," Papers 2408.09799, arXiv.org, revised Aug 2025.
3. Franck Adékambi & Essodina Takouda, 2020. "Gerber–Shiu Function in a Class of Delayed and Perturbed Risk Model with Dependence," Risks, MDPI, vol. 8(1), pages 1-25, March.
4. Chen, Lv & Zhang, Yiying & Zhu, Xiaobai, 2026. "Self-protection and insurance demand under time-inconsistent mean–variance framework," European Journal of Operational Research, Elsevier, vol. 330(1), pages 199-216.
5. Zongxia Liang & Zhaojie Ren & Bin Zou, 2025. "Optimal Reinsurance under Endogenous Default and Background Risk," Papers 2501.05672, arXiv.org, revised Feb 2026.
6. Chen, Lv & Shen, Yang & Su, Jianxi, 2020. "A continuous-time theory of reinsurance chains," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 129-146.
7. Pengyu Wei & Charles Yang, 2023. "Optimal investment for defined-contribution pension plans under money illusion," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 729-753, August.
8. Chonghu Guan & Zuo Quan Xu & Rui Zhou, 2023. "Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon," Mathematics of Operations Research, INFORMS, vol. 48(1), pages 544-568, February.
9. Franck Adékambi & Essodina Takouda, 2022. "On the Discounted Penalty Function in a Perturbed Erlang Renewal Risk Model With Dependence," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 481-513, June.
10. Boonen, Tim J. & Chen, Yuyu & Han, Xia & Wang, Qiuqi, 2025. "Optimal insurance design with Lambda-Value-at-Risk," European Journal of Operational Research, Elsevier, vol. 327(1), pages 232-246.
11. Boonen, Tim J. & Jiang, Wenjun, 2022. "A marginal indemnity function approach to optimal reinsurance under the Vajda condition," European Journal of Operational Research, Elsevier, vol. 303(2), pages 928-944.
12. Boonen, Tim J. & Jiang, Wenjun, 2025. "Pareto-optimal insurance under robust distortion risk measures," European Journal of Operational Research, Elsevier, vol. 324(2), pages 690-705.
13. Boonen, Tim J. & Ghossoub, Mario, 2023. "Bowley vs. Pareto optima in reinsurance contracting," European Journal of Operational Research, Elsevier, vol. 307(1), pages 382-391.
14. Sun, Huan & Wang, Haiyan & Steffensen, Sonja, 2022. "Mechanism design of multi-strategy health insurance plans under asymmetric information," Omega, Elsevier, vol. 107(C).
15. Chaofan Sun & Ken Seng Tan & Wei Wei, 2022. "Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms," Papers 2201.09105, arXiv.org, revised Jan 2022.
16. Fadina, Tolulope & Hu, Junlei & Liu, Peng & Xia, Yi, 2025. "Optimal reinsurance with multivariate risks and dependence uncertainty," European Journal of Operational Research, Elsevier, vol. 321(1), pages 231-242.
17. Wang, Fudong & Liang, Zhibin & Zhang, Yiying, 2025. "Stackelberg equilibrium strategies between insurance demand and government interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 179(C).
18. Zongxia Liang & Yi Xia & Bin Zou, 2024. "A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition," Papers 2405.06235, arXiv.org, revised Sep 2024.
19. Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin, 2023. "Reinsurance games with two reinsurers: Tree versus chain," European Journal of Operational Research, Elsevier, vol. 310(2), pages 928-941.
20. Liang, Zongxia & Xia, Yi & Zou, Bin, 2024. "A two-layer stochastic game approach to reinsurance contracting and competition," Insurance: Mathematics and Economics, Elsevier, vol. 119(C), pages 226-237.
21. Yakun Liu & Jingchao Li & Jieming Zhou & Yingchun Deng, 2024. "Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown," Methodology and Computing in Applied Probability, Springer, vol. 26(3), pages 1-34, September.
22. Aboagye, Ernest & Asimit, Vali & Fung, Tsz Chai & Peng, Liang & Wang, Qiuqi, 2025. "A revisit of the optimal excess-of-loss contract," European Journal of Operational Research, Elsevier, vol. 322(1), pages 341-354.
23. Chonghu Guan & Zuo Quan Xu & Rui Zhou, 2020. "Dynamic optimal reinsurance and dividend-payout in finite time horizon," Papers 2008.00391, arXiv.org, revised Jun 2022.
24. Wenyuan Li & Pengyu Wei, 2024. "Optimal life insurance and annuity decision under money illusion," Papers 2410.20128, arXiv.org.
25. Li, Wenyuan & Tan, Ken Seng & Wei, Pengyu, 2021. "Demand for non-life insurance under habit formation," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 38-54.
26. Bai, Yanfei & Zhou, Zhongbao & Xiao, Helu & Gao, Rui & Zhong, Feimin, 2022. "A hybrid stochastic differential reinsurance and investment game with bounded memory," European Journal of Operational Research, Elsevier, vol. 296(2), pages 717-737.
27. Li, Wenyuan & Wei, Pengyu, 2025. "Optimal life insurance and annuity decisions under money illusion," Insurance: Mathematics and Economics, Elsevier, vol. 125(C).
28. Zhang, Yiying & Jiang, Wenjun, 2026. "Optimal reinsurance design under convex premium principles and distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 126(C).
29. Xia Han & Ruodu Wang & Qinyu Wu, 2023. "Monotonic mean-deviation risk measures," Papers 2312.01034, arXiv.org, revised Aug 2024.
30. Junyi Guo & Xia Han & Hao Wang, 2025. "Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework," Papers 2502.05474, arXiv.org, revised Aug 2025.
31. Li, Zixuan & Meng, Hui & Zhou, Ming, 2025. "Optimal insurance contract under mean-variance preference with value at risk constraint," Insurance: Mathematics and Economics, Elsevier, vol. 123(C).