Optimal Proportional Reinsurance Policies in a Dynamic Setting

By Hanspeter Schmidli. 2001

289 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/122f56c2bdccef4e8bd2c6d4abf9121a3fa6a5dc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Zhibin Liang
2. Kam Chuen Yuen
3. Minghe Zhou
4. Hanspeter Schmidli
5. Virginia R. Young
6. Bjarne Højgaard
7. Hansjörg Albrecher *
8. Stefan Thonhauser

In Finance

1. Kam Chuen Yuen
2. Zhibin Liang
3. Virginia R. Young
4. Hanspeter Schmidli
5. Christian Hipp
6. Stefan Thonhauser
7. Hansjörg Albrecher *
8. Bjarne Højgaard

In Management Science and Operations Research

1. Kam Chuen Yuen
2. Zhibin Liang
3. Minghe Zhou
4. Hanspeter Schmidli
5. Stefan Thonhauser
6. Hansjörg Albrecher *
7. Virginia R. Young
8. Bjarne Højgaard

Citations in the corpus

• Optimal proportional reinsurance with common shock dependence (2015, background): “Among others, Browne (1995), Schmidli (2001, 2002), Promislow and Young (2005), and Bai et al. (2013) derive optimal strategies that minimize ruin probability; Kaluszka (2001, 2004) examine the optimal reinsurance problem under various mean-variance premium principles; Centeno (1986, 2002), Hald…”
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case (2004, background): “Schmidli [14,16] considered the case where reinsurance can be bought.”
• Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, background): “See, for example, Schmidli (2001), Irgens & Paulsen (2004), Promislow & Young (2005), Liang et al. (2011), and Liang & Young (2012).”
• Mean-Variance Optimal Reinsurance Arrangements (2004, background): “Recent results on optimality of reinsurance policies in the framework of a diffusion model can be found in Højgaard & Taksar (1998), Asmussen et al. (2000) and Schmidli (2001).”
• Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection (2010, methodology): “Similarly, for the proportional reinsurance case, we can refer to (1) in [ 10 ] and (1.6) in [11].”
• Quantifying Distributional Model Risk via Optimal Transport (2016, unknown): “In the extensive line of research that studies optimal reinsurance proportion, diffusion models have been particularly recommended for tractability reasons (see, for example Hojgaard and Taksar (1998); Schmidli (2001)).”
• Minimizing the probability of lifetime ruin under borrowing constraints (2007, methodology): “See Young (2004) and Browne (1997) for discussions of this phenomenon in related models.”
• Optimal retention levels, given the joint survival of cedent and reinsurer (2004, background): “A stochastic dynamic control approach to optimal reinsurance was recently demonstrated in a series of papers by Schmidli (2001, 2002), Hipp & Vogt (2001), Taksar & Markussen (2002), Asmussen et al. (2000), Mnif & Sulem (2001) and Bäuerle (2002).”
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs (2002, methodology): “To nd solutions numerically we follow the idea of Hipp & Taksar (2000), Schmidli (2001) to develop numerical schemes for approximations of F.”
• Optimal investment for insurers (2000, background): “Other optimization problems would be: optimization of reinsurance programs (see [4] and [5]) or of new business (see [3]).”