Optimal non-proportional reinsurance control
By Christian Hipp, Michael I. Taksar. 2010
66 citations recorded by the source corpus.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/40d97b2f05f53fe1de14bbacd0cb4974253586e7
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In Demography
In Finance
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Citations in the corpus
- Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, background): “Under the variance premium principle, the optimal reinsurance contract is not necessarily an excess of loss reinsurance but a proportional reinsurance (see Proposition 7 in Hipp & Taksar (2010)).”
- Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle (2012, methodology): “As was shown in Pesonen (1984) and Hipp and Taksar (2010), the proportional reinsurance is optimal in the mean-variance model under the variance principle.”
- Optimal non-proportional reinsurance control and stochastic differential games (2011, background): “We refer an interested reader to Hipp and Taksar (2010), where a study of optimal policy for a single insurance company choosing dynamically from a set of nonproportional reinsurance policies, is studied.”