Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer-Reference-Cited by-同舟云学术

Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer

Published:2021-02-18 Issue: Volume: Page:1-32
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Li Danping¹^ORCID,Rong Ximin²,Wang Yajie³,Zhao Hui²

Affiliation:

1. Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, Faculty of Economics and Management, East China Normal University, Shanghai, China

2. School of Mathematics, Tianjin University, Tianjin, PR China

3. China Export and Credit Insurance Corporation, Beijing, China

Funder

National Natural Science Foundation of China

Shanghai Education Development Foundation and Shanghai Municipal Education Commission

the Fundamental Research Funds for the Central Universities

the 111 Project, China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2021.1873379

Reference39 articles.

1. Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

2. Benchmark and mean-variance problems for insurers

3. Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

4. Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection

5. Dynamic mean-variance problem with constrained risk control for the insurers

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