An optimal reinsurance problem in the Cramér–Lundberg model-Reference-Cited by-同舟云学术

An optimal reinsurance problem in the Cramér–Lundberg model

Published:2016-09-24 Issue:2 Volume:85 Page:179-205
ISSN:1432-2994
Container-title:Mathematical Methods of Operations Research
language:en
Short-container-title:Math Meth Oper Res

Author:

Cani Arian,Thonhauser Stefan

Funder

Austrian Science Fund (AT)

Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Mathematics,Software

Link

http://link.springer.com/article/10.1007/s00186-016-0559-8/fulltext.html

Reference30 articles.

1. Asmussen S, Albrecher H (2010) Ruin probabilities, 2nd edn. World Scientific, Singapore

2. Azcue P, Muler N (2005) Optimal reinsurance and dividend distribution policies in the Cramér–Lundberg model. Math Finance 15(2):261–308

3. Azcue P, Muler N (2014) Stochastic optimization in insurance: a dynamic programming approach. Springer, New York

4. Bäuerle N, Rieder U (2011) Markov decision processes with applications to finance. Springer, New York

5. Borch KH (1974) The mathematical theory of Insurance: an annotated selection of papers on insurance published 1960–1972. Lexington Books, Lexington

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal multidimensional reinsurance policies under a common shock dependency structure;European Actuarial Journal;2022-03-22

2. Reinsurance of multiple risks with generic dependence structures;Insurance: Mathematics and Economics;2021-11

3. Optimal dynamic reinsurance strategies in multidimensional portfolio;Stochastic Analysis and Applications;2020-07-14

4. Optimal Proportional Reinsurance Strategy Using Dynamic Programming;International Journal of Engineering Research in Africa;2020-06

5. Optimal reinsurance for Gerber–Shiu functions in the Cramér–Lundberg model;Insurance: Mathematics and Economics;2019-07