Optimal proportional reinsurance with common shock dependence-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Optimal proportional reinsurance with common shock dependence

Published:2015-09 Issue: Volume:64 Page:1-13
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Yuen Kam Chuen,Liang Zhibin,Zhou Ming

Funder

Research Grants Council of the Hong Kong Special Administrative Region, China

Society of Actuaries

National Natural Science Foundation of China

Jiangsu Natural Science Foundation

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference28 articles.

1. Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting;Bai;Insurance Math. Econom.,2013

2. Optimal reinsurance arrangements under tail risk measures;Bernard;J. Risk Insurance,2009

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

4. Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures;Cai;ASTIN Bull.,2007

5. Measuring the effects of reinsurance by the adjustment coefficient;Centeno;Insurance Math. Econom.,1986

Cited by 57 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. Stackelberg differential reinsurance and investment game for a dependent risk model with Ornstein–Uhlenbeck process;Statistics & Probability Letters;2024-11

2. On Penalized Goal-Reaching Probability Minimization with a Common Shock for an AAI;Journal of Systems Science and Complexity;2024-07-11

3. Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model;Journal of Optimization Theory and Applications;2024-04-10

4. Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction;Mathematics and Financial Economics;2024-03

5. Optimal dividend and proportional reinsurance strategy for the risk model with common shock dependence;Stochastic Models;2024-03

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3