Search Results - subject:"Optimal Proportional Reinsurance"

Optimal reinsurance and investment under common shock dependence between financial and actuarial markets

Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 105 (2022), pp. 252-278

Persistent link: https://www.econbiz.de/10013349033

Optimal proportional reinsurance and investment for stochastic factor models

Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 87 (2019), pp. 15-33

Persistent link: https://www.econbiz.de/10012058904

Minimization of absolute ruin probability under negative correlation assumption

Liang, Zongxia; Long, Mingsi - In: Insurance / Mathematics & economics 65 (2015), pp. 247-258

Persistent link: https://www.econbiz.de/10011428668

Optimal proportional reinsurance in a bivariate risk model

Gosio, Cristina; Lari, Ester C.; Ravera, Marina - In: Modern economy 6 (2015) 6, pp. 664-671

Persistent link: https://www.econbiz.de/10011384508

Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks

Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 55 (2014), pp. 105-115

Persistent link: https://www.econbiz.de/10010366200

Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks

Guan, Guohui; Liang, Zongxia - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 105-115

In this paper, we investigate an optimal reinsurance and investment problem for an insurer whose surplus process is approximated by a drifted Brownian motion. Proportional reinsurance is to hedge the risk of insurance. Interest rate risk and inflation risk are considered. We suppose that the...

Persistent link: https://www.econbiz.de/10010753207