IDEAS home Printed from https://ideas.repec.org/r/eee/insuma/v22y1998i1p41-51.html
   My bibliography  Save this item

Optimal proportional reinsurance policies for diffusion models with transaction costs

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Gauchon, Romain & Loisel, Stéphane & Rullière, Jean-Louis & Trufin, Julien, 2020. "Optimal prevention strategies in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 202-208.
  2. Hipp, Christian & Taksar, Michael, 2000. "Stochastic control for optimal new business," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 185-192, May.
  3. Hipp, Christian & Plum, Michael, 2000. "Optimal investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 215-228, October.
  4. Tan, Ken Seng & Wei, Pengyu & Wei, Wei & Zhuang, Sheng Chao, 2020. "Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle," European Journal of Operational Research, Elsevier, vol. 282(1), pages 345-362.
  5. Mohamed Mnif, 2010. "Numerical methods for optimal insurance demand under marked point processes shocks," Papers 1009.0635, arXiv.org.
  6. Zhang, Nan & Jin, Zhuo & Li, Shuanming & Chen, Ping, 2016. "Optimal reinsurance under dynamic VaR constraint," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 232-243.
  7. Yang, Hailiang & Zhang, Lihong, 2005. "Optimal investment for insurer with jump-diffusion risk process," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 615-634, December.
  8. Chen, Shumin & Li, Zhongfei & Li, Kemian, 2010. "Optimal investment-reinsurance policy for an insurance company with VaR constraint," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 144-153, October.
  9. Ekaterina Bulinskaya & Julia Gusak & Anastasia Muromskaya, 2015. "Discrete-time Insurance Model with Capital Injections and Reinsurance," Methodology and Computing in Applied Probability, Springer, vol. 17(4), pages 899-914, December.
  10. He, Lin & Liang, Zongxia, 2008. "Optimal financing and dividend control of the insurance company with proportional reinsurance policy," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 976-983, June.
  11. Eisenberg, Julia & Fabrykowski, Lukas & Schmeck, Maren Diane, 2021. "Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model," Center for Mathematical Economics Working Papers 648, Center for Mathematical Economics, Bielefeld University.
  12. Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2019. "Optimal prevention strategies in the classical risk model," Working Papers hal-02314899, HAL.
  13. Zou, Bin & Cadenillas, Abel, 2014. "Optimal investment and risk control policies for an insurer: Expected utility maximization," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 57-67.
  14. He, Lin & Liang, Zongxia, 2009. "Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 88-94, February.
  15. Bjarne Højgaard & Michael Taksar, 2004. "Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 315-327.
  16. Zhang, Xin-Li & Zhang, Ke-Cun & Yu, Xing-Jiang, 2009. "Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 473-478, June.
  17. A, Chunxiang & Li, Zhongfei, 2015. "Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 181-196.
  18. Yang Shen & Bin Zou, 2021. "Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process," Papers 2101.03954, arXiv.org.
  19. Bin Zou & Abel Cadenillas, 2017. "Optimal Investment and Liability Ratio Policies in a Multidimensional Regime Switching Model," Risks, MDPI, vol. 5(1), pages 1-22, January.
  20. Zhang, Nan & Jin, Zhuo & Qian, Linyi & Fan, Kun, 2019. "Stochastic differential reinsurance games with capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 7-18.
  21. Zhuo Jin & Zuo Quan Xu & Bin Zou, 2020. "A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies," Papers 2012.06703, arXiv.org, revised May 2021.
  22. Tahir Choulli & Michael Taksar & Xun Yu Zhou, 2005. "Interplay between dividend rate and business constraints for a financial corporation," Papers math/0503541, arXiv.org.
  23. Yan, Jia & Liu, John J. & Li, Kevin X., 2008. "Threshold control of mutual insurance with limited commitment," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 108-115, August.
  24. Meng, Hui & Liao, Pu & Siu, Tak Kuen, 2019. "Continuous-time optimal reinsurance strategy with nontrivial curved structures," Applied Mathematics and Computation, Elsevier, vol. 363(C), pages 1-1.
  25. Mohamed Mnif, 2010. "Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach," Papers 1008.5058, arXiv.org.
  26. Taksar, Michael & Hunderup, Christine Loft, 2007. "The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 311-321, March.
  27. Arian Cani & Stefan Thonhauser, 2017. "An optimal reinsurance problem in the Cramér–Lundberg model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 179-205, April.
  28. Jose Blanchet & Karthyek Murthy, 2019. "Quantifying Distributional Model Risk via Optimal Transport," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 565-600, May.
  29. Chen, An & Li, Hong & Schultze, Mark B., 2023. "Optimal longevity risk transfer under asymmetric information," Economic Modelling, Elsevier, vol. 120(C).
  30. Masaaki Kijima & Akihisa Tamura, 2014. "Buhlmann’s Economic Premium Principle in The Presence of Transaction Costs," KIER Working Papers 893, Kyoto University, Institute of Economic Research.
  31. Liang, Zongxia & Huang, Jianping, 2011. "Optimal dividend and investing control of an insurance company with higher solvency constraints," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 501-511.
  32. Chen, Mi & Peng, Xiaofan & Guo, Junyi, 2013. "Optimal dividend problem with a nonlinear regular-singular stochastic control," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 448-456.
  33. Li, Peng & Zhou, Ming & Yin, Chuancun, 2015. "Optimal reinsurance with both proportional and fixed costs," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 134-141.
  34. He, Yong & Zhou, Xia & Chen, Peimin & Wang, Xiaoyang, 2022. "An analytical solution for the robust investment-reinsurance strategy with general utilities," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  35. Anna Castañer & M. Claramunt & Maite Mármol, 2012. "Ruin probability and time of ruin with a proportional reinsurance threshold strategy," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 614-638, October.
  36. Xu, Lin & Zhang, Liming & Yao, Dingjun, 2017. "Optimal investment and reinsurance for an insurer under Markov-modulated financial market," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 7-19.
  37. Yan, Tingjin & Wong, Hoi Ying, 2020. "Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 105-119.
  38. Luo, Shangzhen & Taksar, Michael & Tsoi, Allanus, 2008. "On reinsurance and investment for large insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 434-444, February.
  39. He, Lin & Hou, Ping & Liang, Zongxia, 2008. "Optimal control of the insurance company with proportional reinsurance policy under solvency constraints," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 474-479, December.
  40. Zongxia Liang & Lin He & Jiaoling Wu, 2010. "Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk," Papers 1009.1269, arXiv.org.
  41. Shen, Yang & Zou, Bin, 2021. "Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 68-80.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.