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Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
16 references·1 citing·39 second hop
Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility (2010)Optimal combining quota-share and excess …Stochastic Control in Insurance (2007)Stochastic Control in Insuran…Optimal investment for insurer with jump-diffusion risk process (2005)Optimal investment for insure…Insurance Risk and Ruin (2005)Insurance Risk and RuinControlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Optimal control of risk exposure, reinsurance and investments for insurance portfolios (2004)Optimal control of risk expos…On minimizing the ruin probability by investment and reinsurance (2002)On minimizing the ruin probab…Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Optimal Proportional Reinsura…Optimal proportional reinsurance policies for diffusion models (1998)Optimal proportional reinsura…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Risk theory for the compound Poisson process that is perturbed by diffusion (1991)Risk theory for the compound …Aspects of Risk Theory (1991)Aspects of Risk TheoryOptimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …An introduction to mathematical risk theory (1979)An introduction to mathematic…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle (2020)Optimal reinsurance to minimi…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Actuarial Mathematics. (1986)On the discounted penalty at ruin in a jump-diffusion and the perpetual put option (1998)Strategies for Dividend Distribution: A Review (2009)Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions (2010)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Point Processes and Queues (1981)Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insurance and Finance (2001)Optimality results for dividend problems in insurance (2009)Modelling of extremal events in insurance and finance (1994)Financial Modelling with Jump Processes (2003)Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (2007)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)A class of non-zero-sum stochastic differential investment and reinsurance games (2014)Risk Aversion in the Small and in the Large (1976)Optimal investment for insurers (2000)Exponential Hedging and Entropic Penalties (2002)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Option pricing by Esscher transforms. (1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Partial Differential Equations (2010)
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  • 2004

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Optimal control of risk exposure, reinsurance and investments for insurance portfolios
106 cited

Cited by

  • 2020Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle29 cited