Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

By Lihua Bai, Jun Cai, Minghe Zhou. 2013

91 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ed4cdb5e836087e72aab28cf2ce3ab53f4f0abcc

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. Minghe Zhou
3. Kam Chuen Yuen
4. Junna Bi
5. Jun Cai

In Economics and Econometrics

1. Zhibin Liang
2. Kam Chuen Yuen
3. Minghe Zhou

In Management Science and Operations Research

1. Zhibin Liang
2. Minghe Zhou
3. Kam Chuen Yuen
4. Junna Bi
5. Jun Cai

Citations in the corpus

• Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, background): “Bai et al. (2013) also seek the optimal excess of loss reinsurance to minimize the ruin probability for the diffusion risk model.”
• Optimal proportional reinsurance with common shock dependence (2015, background): “2 Case III: In this case, we have q̄1(T − t) < 0 and q̄2(T − t) > 0, and thus q∗1t = 0.”