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Optimal reinsurance with both proportional and fixed costs

Published:2015-11 Issue: Volume:106 Page:134-141
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Li Peng,Zhou Ming,Yin Chuancun

Funder

school of insurance at Central University of Finance and Economics

Chinese Social Science of State Education Ministry

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference16 articles.

1. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint;Bai;Insurance Math. Econom.,2008

2. Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin;Browne;Math. Oper. Res.,1995

3. On the optimal stopping problem for one-dimensional diffusions;Dayanik;Stochastic Process. Appl.,2003

4. Optimal reinsurance strategy under fixed cost and delay;Egami;Stochastic Process. Appl.,2009

5. Optimal proportional reinsurance policies for diffusion models with transaction costs;Højgaard;Insurance Math. Econom.,1998

Cited by 16 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. Irreversible reinsurance: minimization of capital injections in presence of a fixed cost;Mathematics and Financial Economics;2024-08-04

2. Optimal Timing of Business Conversion for Solvency Improvement;Acta Mathematicae Applicatae Sinica, English Series;2024-06-05

3. Optimal Reinsurance Strategy Based on the Lundberg Exponent;Journal of Systems Science and Complexity;2024-03-20

4. Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost;2023

5. Optimal time for the excess of loss reinsurance with fixed costs;International Review of Economics & Finance;2022-05

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