Optimal Dynamic XL Reinsurance
By Christian Hipp, Michael Vogt. ASTIN Bulletin: The Journal of the International Actuarial Association, 2003
108 citations recorded by the source corpus.
Subfields: Demography, Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/f96afea3a216350a2e785b1d09fcf85baaae9635
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Hansjörg Albrecher *
- Stefan Thonhauser
- Yipeng Yang
- Jingyi Zhang
- Hanspeter Schmidli
- Shoude Li
- Mengdi Gu
- Ronnie Loeffen
In Economics and Econometrics
- Hansjörg Albrecher *
- Stefan Thonhauser
- Yipeng Yang
- Jingyi Zhang
- Hanspeter Schmidli
- Shoude Li
- Mengdi Gu
- Zhongfei Li
In Management Science and Operations Research
- Stefan Thonhauser
- Hansjörg Albrecher *
- Yipeng Yang
- Jingyi Zhang
- Hanspeter Schmidli
- Shoude Li
- Mengdi Gu
- Ronnie Loeffen
Citations in the corpus
- Constant elasticity of variance model for proportional reinsurance and investment strategies (2010, background): “Hipp and Vogt (2003) found the optimal dynamic unlimited excess-of-loss reinsurance strategy to minimize infinite time ruin probability, and proved the existence of a smooth solution of the corresponding Hamilton–Jacobi–Bellman equation.”
- On minimizing the ruin probability by investment and reinsurance (2002, background): “Other types of reinsurance can be treated similarly, see also Hipp and Vogt (2001).”
- Dividend maximization under consideration of the time value of ruin (2007, methodology): “The problem of choosing optimal dynamic proportional reinsurance to minimize ruin probabilities was investigated by Schmidli [19] and optimal excess-of-loss reinsurance strategies were considered in Hipp & Vogt [14].”