On reinsurance and investment for large insurance portfolios

By S. Luo, Michael I. Taksar, A. Tsoi. 2008

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Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, background): “Browne (1995), Schmidli (2002), Liang (2007), and Luo et al. (2008) consider the objective function that minimizes ruin probability.”
Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection (2010, background): “strategies. [ 8 ] considered the similar optimal problem as that of [9] in the case of neither short-selling nor borrowing.”
Robust non-zero-sum stochastic differential reinsurance game (2016, background): “Such a maximin formulation is standard in the literature on robust optimization theory; see Maenhout (2004), Yi et al. (2013), Fouque et al.”
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, background): “…strategies to maximize insurers’ expected exponential utility from the terminal wealth under different market assumptions; Bai and Guo (2008), Luo et al. (2008), Luo (2009) and Azcue and Muler (2009) investigated the optimal investment and reinsurance strategies to minimize the ruin…”