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Date: 2016
Subject Keyword:
Variance premium principle
| Reinsurance strategy
| Multiple reinsurers
| Fixed costs
| Taxes
| HJB equation
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1105407
Description:
An optimal insurance risk control problem is discussed in a general situation where several reinsurance companies enter into a reinsurance treaty with an insurance company. These reinsurance companies
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Date: 2016
Subject Keyword:
Expected value premium principle
| Variance premium principle
| Ruin probability
| Proportional reinsurance
| Excess of loss reinsurance
| Dynamic programming principle
| Heavy-tailed claims
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1140772
Description:
An optimal reinsurance problem of an insurer is studied in a continuous-time model, where insurance risk is partly transferred to two reinsurers, one adopting the expected-value premium principle and
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