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Optimal proportional reinsurance with common shock dependence
16 references·7 citing·38 second hop
Optimal proportional reinsurance with common shock dependence (2015)Optimal proportional reinsurance with com…Optimal dynamic reinsurance with dependent risks: variance premium principle (2014)Optimal dynamic reinsurance w…Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck process (2011)Optimal proportional reinsura…Optimal Reinsurance Arrangements Under Tail Risk Measures (2009)Optimal Reinsurance Arrangeme…Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures (2007)Optimal Retention for a Stop-…Optimal investment for insurer with jump-diffusion risk process (2005)Optimal investment for insure…Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Minimizing the Probability of…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…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 reinsurance under mean-variance premium principles (2001)Optimal reinsurance under mea…Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Optimal Proportional Reinsura…AGGREGATION OF CORRELATED RISK PORTFOLIOS: MODELS AND ALGORITHMS (1999)AGGREGATION OF CORRELATED RIS…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Aspects of Risk Theory (1991)Aspects of Risk TheoryAn Introduction to Mathematical Risk Theory. By Hans U. Gerber [S. S. Huebner Foundation, R. D. Irwin Inc. Homeward Illinois, 1979] (1981)An Introduction to Mathematic…An introduction to mathematical risk theory (1979)An introduction to mathematic…Optimal reinsurance and investment under common shock dependence between financial and actuarial markets (2022)Optimal reinsurance and inves…Optimal proportional reinsurance and investment for stochastic factor models (2019)Optimal proportional reinsura…A BSDE approach to a class of dependent risk model of mean–variance insurers with stochastic volatility and no-short selling (2019)A BSDE approach to a class of…Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure (2018)Optimal proportional reinsura…Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence (2017)Optimal reinsurance and inves…Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion (2016)Portfolio optimization for ju…Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence (2016)Optimal mean–variance investm…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)Stochastic Differential Equations: Theory and Applications. 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(1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)
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References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1979An introduction to mathematical risk theory914 cited
  • 1991Aspects of Risk Theory902 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 2002On minimizing the ruin probability by investment and reinsurance333 cited
  • 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift308 cited
  • 2005Optimal investment for insurer with jump-diffusion risk process295 cited
  • 2007Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures274 cited
  • 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting271 cited
  • 2001Optimal reinsurance under mean-variance premium principles190 cited
  • 1981An Introduction to Mathematical Risk Theory. By Hans U. Gerber [S. S. Huebner Foundation, R. D. Irwin Inc. Homeward Illinois, 1979]144 cited
  • 1999AGGREGATION OF CORRELATED RISK PORTFOLIOS: MODELS AND ALGORITHMS136 cited
  • 2014Optimal dynamic reinsurance with dependent risks: variance premium principle126 cited
  • 2009Optimal Reinsurance Arrangements Under Tail Risk Measures126 cited
  • 2004

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Optimal control of risk exposure, reinsurance and investments for insurance portfolios
106 cited
  • 2011Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck process104 cited
  • Cited by

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    • 2022Optimal reinsurance and investment under common shock dependence between financial and actuarial markets35 cited
    • 2016Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion29 cited
    • 2017Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence29 cited
    • 2018Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure25 cited
    • 2019A BSDE approach to a class of dependent risk model of mean–variance insurers with stochastic volatility and no-short selling20 cited