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Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model
This paper investigates an optimal reinsurance problem for an insurance company with self-exciting claims, where the insurer’s historical claims...
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Optimal Dividend and Proportional Reinsurance Strategy Under Standard Deviation Premium Principle
This paper investigates the optimal dividend and proportional reinsurance problem. The reinsurance premium principle is calculated by the standard...
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Optimal Reinsurance Strategy Based on the Lundberg Exponent
In this paper, the authors investigate the optimal per-claim reinsurance problem under the continuous-time framework to minimize the insurer’s ruin...
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Equilibrium Reinsurance Strategy and Mean Residual Life Function
In this paper, we analyze the relationship between the equilibrium reinsurance strategy and the tail of the distribution of the risk. Since Mean...
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A Stackelberg reinsurance-investment game with derivatives trading
This paper studies a stochastic Stackelberg differential reinsurance-investment game with derivatives trading under a stochastic volatility model....
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Martingale method for optimal investment and proportional reinsurance
Numerous researchers have applied the martingale approach for models driven by Lévy processes to study optimal investment problems. This paper...
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Optimal reinsurance via BSDEs in a partially observable model with jump clusters
We investigate an optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted...
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Optimal Reinsurance and Dividend Under Model Uncertainty
In this paper, the authors analyze the optimal reinsurance and dividend problem with model uncertainty for an insurer. Here the model uncertainty...
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Optimal dynamic reinsurance with worst-case default of the reinsurer
We consider the optimization problem of a large insurance company that wants to maximize the expected utility of its surplus through the optimal...
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The Optimal Reinsurance-Investment Problem Considering the Joint Interests of an Insurer and a Reinsurer under Hara Utility
This paper focuses on an optimal reinsurance and investment problem for an insurance corporation which holds the shares of an insurer and a...
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Optimal multidimensional reinsurance policies under a common shock dependency structure
In this paper, we consider an insurance company that is active in multiple dependent lines. We assume that the risk process in each line is a...
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Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria: Partial and Full Information
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving...
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Optimal Reinsurance and Investment Strategy with Delay in Heston’s SV Model
In this paper, we consider an optimal investment and proportional reinsurance problem with delay, in which the insurer’s surplus process is described...
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A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
In this paper, we investigate a stochastic Stackelberg differential reinsurance and investment game problem with delay for a reinsurer and an insurer...
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An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
In this paper, we propose an approach to explore reinsurance optimization for a non-life multi-line insurer through a simulation model that combines...
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Indifference pricing of reinsurance with reinstatements using coherent monetary criteria
We consider the problem of indifference pricing of reinsurance contracts that contain a reinstatement clause. We define the indifference price...
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VaR and CTE Based Optimal Reinsurance from a Reinsurer’s Perspective
In this article, we study optimal reinsurance design. By employing the increasing convex functions as the admissible ceded loss functions and the...
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Nonzero-Sum Stochastic Differential Reinsurance Games with Jump–Diffusion Processes
In this paper, a nonzero-sum stochastic differential reinsurance game is studied. A model including controls for the market share (advertising),...
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Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
This paper considers the non-zero-sum stochastic differential game problem between two ambiguity-averse insurers (AAIs) with common shock. Each AAI’s...
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The impact of dependencies between climate risks on the asset and liability side of non-life insurers
The aim of this paper is to examine the impact of dependencies between climate transition and physical risks on the default probability and...
