Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a … reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary … probability when no reinsurance is bought. We develop a finite-difference method for solving the (partial integro …

specifically, in reinsurance problems. In this area, the complexity of the models and assumptions considered in the definition of … the reinsurance rules and conditions produces hard black-box optimization problems (problems in which the objective … solved in order to obtain the optimal output of the reinsurance. The application of traditional optimization approaches is …

of some different business mixes is analyzed. Furthermore, the risk-mitigation and profitability impact of reinsurance in … portfolios and reinsurance arrangements, pointing out the main reasons for these differences. …

In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total … a Brownian motion with drift, and the reinsurance price is modelled by a continuous-time Markov chain with two states …. The presence of regime-switching substantially complicates the optimal reinsurance problem, as the surplus …

fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line. Such a …

and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a …