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ArticleOptimal non-proportional reinsurance control

Christian Hipp2010

Article2010

Optimal non-proportional reinsurance control

Christian Hipp · Michael Taksar

61 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

2003Stochastic Differential Equations 2005Applied Stochastic Control of Jump Diffusions 2012Introduction to Stochastic Calculus with Applications 2001Stochastic Processes for Insurance and Finance 1962Equilibrium in a Reinsurance Market 2005Introduction to Stochastic Calculus with Applications 1992Equilibrium in a Reinsurance Market 2000Stochastic Processes for Insurance and Finance

Cited by

2019Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle 2010Optimal non-proportional reinsurance control and stochastic differential games 2018Minimizing the probability of ruin: Optimal per-loss reinsurance 2016Robust reinsurance contracts in continuous time 2015Optimal reinsurance and asset allocation under regime switching

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2004Mean-Variance Optimal Reinsurance Arrangementsarticle · 3 shared references 2020Multi-dimensional Diffusion Processeschapter · 3 shared references 2004On optimal investment and subexponential claimsarticle · 3 shared references 2004Stochastic Control with Application in Insurancechapter · 3 shared references 2020A new approach for time-variant probability density function of the maximal value of stochastic dynamical systemsarticle · 3 shared references 1992The Design of an Optimal Insurance Policychapter · 2 shared references

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Year2010

Typearticle

Published2010-05-18

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations61

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2010.04.001

openalex_workW2087520527

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