SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Minimizing the probability of ruin: Optimal per-loss reinsurance
14 references·1 citing·42 second hop
Minimizing the probability of ruin: Optimal per-loss reinsurance (2018)Minimizing the probability of ruin: Optim…Marginal Indemnification Function formulation for optimal reinsurance (2015)Marginal Indemnification Func…Optimal non-proportional reinsurance control (2010)Optimal non-proportional rein…Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Minimizing the Probability of…Reinsurance Arrangements Maximizing Insurer's Survival Probability (2004)Reinsurance Arrangements Maxi…Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin (2004)Optimal Investment Strategy t…Optimal Investment for an Insurer to Minimize Its Probability of Ruin (2004)Optimal Investment for an Ins…Optimal investment for insurers (2000)Optimal investment for insure…On the Mathematical Theory of Risk (1994)On the Mathematical Theory of…Aspects of Rational Insurance Purchasing (1992)Aspects of Rational Insurance…Aspects of Risk Theory (1991)Aspects of Risk TheoryOptimal reinsurance in relation to ordering of risks (1989)Optimal reinsurance in relati…Actuarial Mathematics. (1986)Actuarial Mathematics.Continuous-Time Red and Black: How to Control a Diffusion to a Goal (1985)Continuous-Time Red and Black…Aspects of Rational Insurance Purchasing (1968)Aspects of Rational Insurance…Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework (2023)Optimal reinsurance-investmen…Portfolio Selection: Efficient Diversification of Investments (1959)Optimum consumption and portfolio rules in a continuous-time model (1971)Modelling Extremal Events (1997)Ruin models with investment income (2008)Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck process (2011)Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model (2013)Stochastic Differential Equations: Theory and Applications. (1976)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (2007)Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Modelling of extremal events in insurance and finance (1994)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Controlled Markov Processes and Viscosity Solutions (2005)Optimal investment for insurer with jump-diffusion risk process (2005)Optimality results for dividend problems in insurance (2009)Risk Aversion in the Small and in the Large (1964)Aspects of the Theory of Risk-Bearing. (1966)The Welfare Loss of Excess Health Insurance (1973)Risk Aversion in the Small and in the Large (1976)The Design of an Optimal Insurance Policy (1992)The Demand for Flood Insurance: Empirical Evidence (2000)A theory of anticipated utility (1982)Advances in prospect theory: Cumulative representation of uncertainty (1992)On the Shape of the Probability Weighting Function (1999)A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS (2017)Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle (2019)Optimal reinsurance designs based on risk measures: a review (2020)Continuous-Time Finance. (1991)Arbitrage Theory in Continuous Time (1998)Loss Models: From Data to Decisions (1999)A Sustainable Spending Rate without Simulation (2005)Comonotonic Approximations for Optimal Portfolio Selection Problems (2005)ASSET ALLOCATION AND ANNUITY‐PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN (2006)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Large deviations results for subexponential tails, with applications to insurance risk (1996)Anomalous waiting times in high-frequency financial data (2004)The application of continuous-time random walks in finance and economics (2005)Background Risk, Prudence, and the Demand for Insurance (1992)Affine processes for dynamic mortality and actuarial valuations (2005)
this work references cited by second hop

References

  • 1991Aspects of Risk Theory902 cited
  • 1968Aspects of Rational Insurance Purchasing738 cited
  • 1986Actuarial Mathematics.623 cited
  • 1992Aspects of Rational Insurance Purchasing609 cited
  • 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift308 cited
  • 2000Optimal investment for insurers305 cited
  • 1994On the Mathematical Theory of Risk196 cited
  • 2004Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin121 cited
  • 2004Optimal Investment for an Insurer to Minimize Its Probability of Ruin117 cited
  • 2015Marginal Indemnification Function formulation for optimal reinsurance104 cited
  • 1985Continuous-Time Red and Black: How to Control a Diffusion to a Goal93 cited
  • 1989Optimal reinsurance in relation to ordering of risks69 cited
  • 2010Optimal non-proportional reinsurance control61 cited
  • 2004Reinsurance Arrangements Maximizing Insurer's Survival Probability54 cited

Cited by

  • 2023Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework31 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work