Mert, Ozenc Murat; Selcuk-Kestel, A. Sevtap Time dependent stop-loss reinsurance and exposure curves. (English) Zbl 07309607 J. Comput. Appl. Math. 389, Article ID 113348, 16 p. (2021). MSC: 62P20 62G10 60J65 91B05 PDF BibTeX XML Cite \textit{O. M. Mert} and \textit{A. S. Selcuk-Kestel}, J. Comput. Appl. Math. 389, Article ID 113348, 16 p. (2021; Zbl 07309607) Full Text: DOI
Li, Peng; Meng, Qingbin; Yuen, Kam C.; Zhou, Ming Optimal dividend and risk control policies in the presence of a fixed transaction cost. (English) Zbl 07305207 J. Comput. Appl. Math. 388, Article ID 113271, 14 p. (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{P. Li} et al., J. Comput. Appl. Math. 388, Article ID 113271, 14 p. (2021; Zbl 07305207) Full Text: DOI
Luo, Shangzhen; Wang, Mingming; Zhu, Wei Stochastic differential reinsurance games in diffusion approximation models. (English) Zbl 07305161 J. Comput. Appl. Math. 386, Article ID 113252, 36 p. (2021). MSC: 91G05 91G80 91A15 91A80 91A10 91A12 PDF BibTeX XML Cite \textit{S. Luo} et al., J. Comput. Appl. Math. 386, Article ID 113252, 36 p. (2021; Zbl 07305161) Full Text: DOI
Zhang, Yan; Zhao, Peibiao; Kou, Bingyu Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model. (English) Zbl 1447.91154 J. Comput. Appl. Math. 382, Article ID 113082, 17 p. (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Comput. Appl. Math. 382, Article ID 113082, 17 p. (2021; Zbl 1447.91154) Full Text: DOI
Bi, Junna; Li, Minhan Optimal mean-variance investment-reinsurance problem with constrained controls by the new Basel regulations for an insurer. (Chinese. English summary) Zbl 07294911 Acta Math. Sin., Chin. Ser. 63, No. 1, 61-76 (2020). MSC: 62P05 91B05 91G10 PDF BibTeX XML Cite \textit{J. Bi} and \textit{M. Li}, Acta Math. Sin., Chin. Ser. 63, No. 1, 61--76 (2020; Zbl 07294911)
Deng, Chao; Bian, Wenlong; Wu, Baiyi Optimal reinsurance and investment problem with default risk and bounded memory. (English) Zbl 07290342 Int. J. Control 93, No. 12, 2982-2994 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{C. Deng} et al., Int. J. Control 93, No. 12, 2982--2994 (2020; Zbl 07290342) Full Text: DOI
Guan, Guohui; Wang, Xiaojun Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. (English) Zbl 1451.91167 Scand. Actuar. J. 2020, No. 8, 677-699 (2020). MSC: 91G05 91B16 PDF BibTeX XML Cite \textit{G. Guan} and \textit{X. Wang}, Scand. Actuar. J. 2020, No. 8, 677--699 (2020; Zbl 1451.91167) Full Text: DOI
Han, Xia; Liang, Zhibin; Young, Virginia R. Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle. (English) Zbl 07286461 Scand. Actuar. J. 2020, No. 10, 879-903 (2020). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{X. Han} et al., Scand. Actuar. J. 2020, No. 10, 879--903 (2020; Zbl 07286461) Full Text: DOI
Cai, Jun; Mao, Tiantian Risk measures derived from a regulator’s perspective on the regulatory capital requirements for insurers. (English) Zbl 07285051 ASTIN Bull. 50, No. 3, 1065-1092 (2020). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{J. Cai} and \textit{T. Mao}, ASTIN Bull. 50, No. 3, 1065--1092 (2020; Zbl 07285051) Full Text: DOI
Li, Lu; Wu, Qinyu; Mao, Tiantian Stochastic comparisons of largest-order statistics for proportional reversed hazard rate model and applications. (English) Zbl 07284519 J. Appl. Probab. 57, No. 3, 832-852 (2020). MSC: 60E05 60E15 PDF BibTeX XML Cite \textit{L. Li} et al., J. Appl. Probab. 57, No. 3, 832--852 (2020; Zbl 07284519) Full Text: DOI
Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; Smirnow, Alexander Optimal risk-sharing across a network of insurance companies. (English) Zbl 1452.91269 Insur. Math. Econ. 95, 39-47 (2020). MSC: 91G05 91G45 PDF BibTeX XML Cite \textit{N. Ettlin} et al., Insur. Math. Econ. 95, 39--47 (2020; Zbl 1452.91269) Full Text: DOI
Brachetta, Matteo; Ceci, C. A BSDE-based approach for the optimal reinsurance problem under partial information. (English) Zbl 1452.91264 Insur. Math. Econ. 95, 1-16 (2020). MSC: 91G05 93E20 60G35 60H10 PDF BibTeX XML Cite \textit{M. Brachetta} and \textit{C. Ceci}, Insur. Math. Econ. 95, 1--16 (2020; Zbl 1452.91264) Full Text: DOI
A, Chunxiang; Shao, Yi Optimal investment and reinsurance problem with delay under the CEV model. (Chinese. English summary) Zbl 07267494 Oper. Res. Trans. 24, No. 1, 73-87 (2020). MSC: 91G05 34K50 60H10 PDF BibTeX XML Cite \textit{C. A} and \textit{Y. Shao}, Oper. Res. Trans. 24, No. 1, 73--87 (2020; Zbl 07267494) Full Text: DOI
Nie, Gaoqin; Chang, Hao Optimal investment and reinsurance under Vasicek interest rate and Heston model. (Chinese. English summary) Zbl 07267279 Math. Appl. 33, No. 2, 525-533 (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{G. Nie} and \textit{H. Chang}, Math. Appl. 33, No. 2, 525--533 (2020; Zbl 07267279)
Huang, Qing; Ma, Shixia; Gong, Xiaoqin Optimization problem of excess-of-loss reinsurance and investment with delay and mispricing under the jump-diffusion model. (English) Zbl 07266906 J. Math., Wuhan Univ. 40, No. 2, 185-198 (2020). MSC: 91G05 34K50 91G80 60J70 PDF BibTeX XML Cite \textit{Q. Huang} et al., J. Math., Wuhan Univ. 40, No. 2, 185--198 (2020; Zbl 07266906) Full Text: DOI
Xu, Lin; Xu, Shaosheng; Yao, Dingjun Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance. (English) Zbl 1448.91269 Comput. Math. Appl. 79, No. 3, 716-734 (2020). MSC: 91G05 91B64 60J28 49L25 PDF BibTeX XML Cite \textit{L. Xu} et al., Comput. Math. Appl. 79, No. 3, 716--734 (2020; Zbl 1448.91269) Full Text: DOI
Ceci, Claudia; Colaneri, Katia; Frey, Rüdiger; Köck, Verena Value adjustments and dynamic hedging of reinsurance counterparty risk. (English) Zbl 1448.91258 SIAM J. Financ. Math. 11, No. 3, 788-814 (2020). MSC: 91G05 91G40 PDF BibTeX XML Cite \textit{C. Ceci} et al., SIAM J. Financ. Math. 11, No. 3, 788--814 (2020; Zbl 1448.91258) Full Text: DOI Link
Wen, Yuzhen; Yin, Chuancun Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate. (English) Zbl 1448.91268 J. Funct. Spaces 2020, Article ID 4051969, 13 p. (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{Y. Wen} and \textit{C. Yin}, J. Funct. Spaces 2020, Article ID 4051969, 13 p. (2020; Zbl 1448.91268) Full Text: DOI
Cheng, Xiang; Jin, Zhuo; Yang, Hailiang Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. (English) Zbl 1447.91129 ASTIN Bull. 50, No. 2, 449-477 (2020). MSC: 91G05 60J28 68T07 PDF BibTeX XML Cite \textit{X. Cheng} et al., ASTIN Bull. 50, No. 2, 449--477 (2020; Zbl 1447.91129) Full Text: DOI
Zhang, Qiang; Chen, Ping Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps. (English) Zbl 07241328 Methodol. Comput. Appl. Probab. 22, No. 2, 777-801 (2020). MSC: 91G05 49L20 60H30 60J74 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, Methodol. Comput. Appl. Probab. 22, No. 2, 777--801 (2020; Zbl 07241328) Full Text: DOI
Wang, Ning; Siu, Tak Kuen Robust reinsurance contracts with risk constraint. (English) Zbl 1447.91151 Scand. Actuar. J. 2020, No. 5, 419-453 (2020). MSC: 91G05 91B43 91B41 PDF BibTeX XML Cite \textit{N. Wang} and \textit{T. K. Siu}, Scand. Actuar. J. 2020, No. 5, 419--453 (2020; Zbl 1447.91151) Full Text: DOI
Yener, Haluk Proportional reinsurance and investment in multiple risky assets under borrowing constraint. (English) Zbl 1447.91153 Scand. Actuar. J. 2020, No. 5, 396-418 (2020). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{H. Yener}, Scand. Actuar. J. 2020, No. 5, 396--418 (2020; Zbl 1447.91153) Full Text: DOI
Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert Nonlinearly transformed risk measures: properties and application to optimal reinsurance. (English) Zbl 1447.91128 Scand. Actuar. J. 2020, No. 5, 376-395 (2020). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{M. Brandtner} et al., Scand. Actuar. J. 2020, No. 5, 376--395 (2020; Zbl 1447.91128) Full Text: DOI
Gu, Ailing; Viens, Frederi G.; Shen, Yang Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. (English) Zbl 1447.91139 Scand. Actuar. J. 2020, No. 4, 342-375 (2020). MSC: 91G05 91B43 90C39 PDF BibTeX XML Cite \textit{A. Gu} et al., Scand. Actuar. J. 2020, No. 4, 342--375 (2020; Zbl 1447.91139) Full Text: DOI
Cao, Jingyi; Landriault, David; Li, Bin Optimal reinsurance-investment strategy for a dynamic contagion claim model. (English) Zbl 1446.91056 Insur. Math. Econ. 93, 206-215 (2020). MSC: 91G05 91G45 PDF BibTeX XML Cite \textit{J. Cao} et al., Insur. Math. Econ. 93, 206--215 (2020; Zbl 1446.91056) Full Text: DOI
Anthropelos, Michail; Boonen, Tim J. Nash equilibria in optimal reinsurance bargaining. (English) Zbl 1446.91054 Insur. Math. Econ. 93, 196-205 (2020). MSC: 91G05 91A80 91B26 PDF BibTeX XML Cite \textit{M. Anthropelos} and \textit{T. J. Boonen}, Insur. Math. Econ. 93, 196--205 (2020; Zbl 1446.91054) Full Text: DOI
Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R. Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin. (English) Zbl 1445.91054 Insur. Math. Econ. 92, 128-146 (2020). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{X. Liang} et al., Insur. Math. Econ. 92, 128--146 (2020; Zbl 1445.91054) Full Text: DOI
Chen, Zhiping; Yang, Peng Robust optimal reinsurance-investment strategy with price jumps and correlated claims. (English) Zbl 1445.91051 Insur. Math. Econ. 92, 27-46 (2020). MSC: 91G05 62P05 91G10 90C15 90C39 PDF BibTeX XML Cite \textit{Z. Chen} and \textit{P. Yang}, Insur. Math. Econ. 92, 27--46 (2020; Zbl 1445.91051) Full Text: DOI
Kasumo, Christian; Kasozi, Juma; Kuznetsov, Dmitry Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance. (English) Zbl 1447.91141 Appl. Appl. Math. 15, No. 1, 13-37 (2020). MSC: 91G05 45D05 62P05 PDF BibTeX XML Cite \textit{C. Kasumo} et al., Appl. Appl. Math. 15, No. 1, 13--37 (2020; Zbl 1447.91141) Full Text: Link
Albrecher, Hansjörg; Chen, Bohan; Vatamidou, Eleni; Zwart, Bert Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. (English) Zbl 1444.91188 J. Appl. Probab. 57, No. 2, 513-530 (2020). MSC: 91G05 60F10 PDF BibTeX XML Cite \textit{H. Albrecher} et al., J. Appl. Probab. 57, No. 2, 513--530 (2020; Zbl 1444.91188) Full Text: DOI
Brachetta, Matteo; Schmidli, Hanspeter Optimal reinsurance and investment in a diffusion model. (English) Zbl 1444.91191 Decis. Econ. Finance 43, No. 1, 341-361 (2020). MSC: 91G05 60G44 60J60 93E20 PDF BibTeX XML Cite \textit{M. Brachetta} and \textit{H. Schmidli}, Decis. Econ. Finance 43, No. 1, 341--361 (2020; Zbl 1444.91191) Full Text: DOI
Guan, Chonghu A fully nonlinear free boundary problem for minimizing the ruin probability. (English) Zbl 1440.35348 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 198, Article ID 111924, 14 p. (2020). MSC: 35R35 35Q91 91B70 93E20 PDF BibTeX XML Cite \textit{C. Guan}, Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 198, Article ID 111924, 14 p. (2020; Zbl 1440.35348) Full Text: DOI
Fu, Ke-Ang; Ni, Chang; Chen, Hao A particular bidimensional time-dependent renewal risk model with constant interest rates. (English) Zbl 1434.60254 Probab. Eng. Inf. Sci. 34, No. 2, 172-182 (2020). MSC: 60K10 60G44 91G05 PDF BibTeX XML Cite \textit{K.-A. Fu} et al., Probab. Eng. Inf. Sci. 34, No. 2, 172--182 (2020; Zbl 1434.60254) Full Text: DOI
Liang, Xiaoqing; Young, Virginia R. Minimizing the discounted probability of exponential Parisian ruin via reinsurance. (English) Zbl 1433.91136 SIAM J. Control Optim. 58, No. 2, 937-964 (2020). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, SIAM J. Control Optim. 58, No. 2, 937--964 (2020; Zbl 1433.91136) Full Text: DOI
Yang, Peng; Chen, Zhiping; Xu, Ying Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework. (English) Zbl 1435.62375 J. Comput. Appl. Math. 374, Article ID 112769, 27 p. (2020). MSC: 62P05 62M10 91G05 93E20 PDF BibTeX XML Cite \textit{P. Yang} et al., J. Comput. Appl. Math. 374, Article ID 112769, 27 p. (2020; Zbl 1435.62375) Full Text: DOI
Zhu, Jiaqi; Guan, Guohui; Li, Shenghong Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks. (English) Zbl 1435.91168 J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020). MSC: 91G05 91A15 91A80 PDF BibTeX XML Cite \textit{J. Zhu} et al., J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020; Zbl 1435.91168) Full Text: DOI
Chi, Yichun; Tan, Ken Seng; Zhuang, Sheng Chao A Bowley solution with limited ceded risk for a monopolistic reinsurer. (English) Zbl 1435.91143 Insur. Math. Econ. 91, 188-201 (2020). MSC: 91G05 91A65 PDF BibTeX XML Cite \textit{Y. Chi} et al., Insur. Math. Econ. 91, 188--201 (2020; Zbl 1435.91143) Full Text: DOI
Goffard, Pierre-Olivier; Laub, Patrick J. Orthogonal polynomial expansions to evaluate stop-loss premiums. (English) Zbl 1451.91166 J. Comput. Appl. Math. 370, Article ID 112648, 17 p. (2020). Reviewer: Alexandra Rodkina (College Station) MSC: 91G05 60G40 41A10 44A10 PDF BibTeX XML Cite \textit{P.-O. Goffard} and \textit{P. J. Laub}, J. Comput. Appl. Math. 370, Article ID 112648, 17 p. (2020; Zbl 1451.91166) Full Text: DOI
Houmia, Anouar; Mejai, Maher; Benaid, Brahim; ben Dbabis, Makram Optimal proportional reinsurance policies for stochastic models. (English) Zbl 1451.91168 Stochastic Anal. Appl. 38, No. 2, 373-386 (2020). Reviewer: Alexandra Rodkina (College Station) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{A. Houmia} et al., Stochastic Anal. Appl. 38, No. 2, 373--386 (2020; Zbl 1451.91168) Full Text: DOI
Guevara-Alarcón, William; Albrecher, Hansjörg; Chowdhury, Parvez On marine liability portfolio modeling. (English) Zbl 1431.91331 ASTIN Bull. 50, No. 1, 61-93 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{W. Guevara-Alarcón} et al., ASTIN Bull. 50, No. 1, 61--93 (2020; Zbl 1431.91331) Full Text: DOI
Yan, Tingjin; Wong, Hoi Ying Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility. (English) Zbl 1431.91347 Insur. Math. Econ. 90, 105-119 (2020). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{T. Yan} and \textit{H. Y. Wong}, Insur. Math. Econ. 90, 105--119 (2020; Zbl 1431.91347) Full Text: DOI
Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu Convex risk functionals: representation and applications. (English) Zbl 1431.91340 Insur. Math. Econ. 90, 66-79 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{F. Liu} et al., Insur. Math. Econ. 90, 66--79 (2020; Zbl 1431.91340) Full Text: DOI
Faias, José Afonso; Guedes, José The diffusion of complex securities: the case of CAT bonds. (English) Zbl 1431.91324 Insur. Math. Econ. 90, 46-57 (2020). MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{J. A. Faias} and \textit{J. Guedes}, Insur. Math. Econ. 90, 46--57 (2020; Zbl 1431.91324) Full Text: DOI
Tan, Ken Seng; Wei, Pengyu; Wei, Wei; Zhuang, Sheng Chao Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle. (English) Zbl 1431.91344 Eur. J. Oper. Res. 282, No. 1, 345-362 (2020). MSC: 91G05 91G10 PDF BibTeX XML Cite \textit{K. S. Tan} et al., Eur. J. Oper. Res. 282, No. 1, 345--362 (2020; Zbl 1431.91344) Full Text: DOI
Zhang, Yan; Wu, Yonghong; Wiwatanapataphee, Benchawan; Angkola, Francisca Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework. (English) Zbl 1438.91121 J. Ind. Manag. Optim. 16, No. 1, 71-101 (2020). MSC: 91G05 91G30 93E20 60H10 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Ind. Manag. Optim. 16, No. 1, 71--101 (2020; Zbl 1438.91121) Full Text: DOI
Huang, Ya; Wang, Jing; Zhou, Jieming; Deng, Yingchun The optimal reinsurance problem towards joint interests of the insurer and the reinsurer with dependent risks. (Chinese. English summary) Zbl 1449.91101 Oper. Res. Trans. 23, No. 4, 13-33 (2019). MSC: 91G05 91B16 PDF BibTeX XML Cite \textit{Y. Huang} et al., Oper. Res. Trans. 23, No. 4, 13--33 (2019; Zbl 1449.91101) Full Text: DOI
Zhang, Xuefang; Jin, Yansheng Optimal investment and reinsurance under the influence of threshold dividend. (Chinese. English summary) Zbl 1449.91116 J. Nat. Sci. Heilongjiang Univ. 36, No. 5, 536-543 (2019). MSC: 91G05 60J70 60J74 93E20 PDF BibTeX XML Cite \textit{X. Zhang} and \textit{Y. Jin}, J. Nat. Sci. Heilongjiang Univ. 36, No. 5, 536--543 (2019; Zbl 1449.91116) Full Text: DOI
Huang, Boqiang; Li, Qicai Optimal proportional reinsurance and pairs trading polices for insurer. (Chinese. English summary) Zbl 1449.91099 J. Nanjing Norm. Univ., Nat. Sci. Ed. 42, No. 4, 39-43 (2019). MSC: 91G05 60G99 91G80 PDF BibTeX XML Cite \textit{B. Huang} and \textit{Q. Li}, J. Nanjing Norm. Univ., Nat. Sci. Ed. 42, No. 4, 39--43 (2019; Zbl 1449.91099) Full Text: DOI
Huang, Chan; Wang, Wei; Wen, Limin Optimal investment-reinsurance strategy with exchange rate risk under variance premium principle. (Chinese. English summary) Zbl 1449.91100 Chin. J. Appl. Probab. Stat. 35, No. 5, 508-524 (2019). MSC: 91G05 PDF BibTeX XML Cite \textit{C. Huang} et al., Chin. J. Appl. Probab. Stat. 35, No. 5, 508--524 (2019; Zbl 1449.91100) Full Text: DOI
Gong, Xiaoqin; Ma, Shixia; Huang, Qing; Li, Guozhu Robust optimal investment strategy of an insurer and a reinsurer with stochastic interest rate and stochastic volatility. (English) Zbl 1449.91098 Acta Sci. Nat. Univ. Nankaiensis 52, No. 6, 60-70 (2019). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{X. Gong} et al., Acta Sci. Nat. Univ. Nankaiensis 52, No. 6, 60--70 (2019; Zbl 1449.91098)
Yang, Peng; Yang, Zhijiang; Kong, Xiangxin Time-consistent optimal reinsurance-investment strategy selection for Poisson-Geometric model. (Chinese. English summary) Zbl 1449.91113 Math. Appl. 32, No. 4, 729-738 (2019). MSC: 91G05 93E20 60H10 PDF BibTeX XML Cite \textit{P. Yang} et al., Math. Appl. 32, No. 4, 729--738 (2019; Zbl 1449.91113)
Wang, Chunxia; Wu, Lijun Optimal reinsurance based on dependent risk model. (Chinese. English summary) Zbl 1449.91109 Math. Pract. Theory 49, No. 10, 194-201 (2019). MSC: 91G05 PDF BibTeX XML Cite \textit{C. Wang} and \textit{L. Wu}, Math. Pract. Theory 49, No. 10, 194--201 (2019; Zbl 1449.91109)
Meng, Hui; Liao, Pu; Siu, Tak Kuen Continuous-time optimal reinsurance strategy with nontrivial curved structures. (English) Zbl 1433.91141 Appl. Math. Comput. 363, Article ID 124585, 21 p. (2019). MSC: 91G05 49L20 93E20 91G10 62P05 PDF BibTeX XML Cite \textit{H. Meng} et al., Appl. Math. Comput. 363, Article ID 124585, 21 p. (2019; Zbl 1433.91141) Full Text: DOI
Tamturk, Muhsin; Utev, Sergey Optimal reinsurance via Dirac-Feynman approach. (English) Zbl 1429.91284 Methodol. Comput. Appl. Probab. 21, No. 2, 647-659 (2019). MSC: 91G05 62P05 58D30 PDF BibTeX XML Cite \textit{M. Tamturk} and \textit{S. Utev}, Methodol. Comput. Appl. Probab. 21, No. 2, 647--659 (2019; Zbl 1429.91284) Full Text: DOI
Guan, Chonghu; Yi, Fahuai; Chen, Xiaoshan A fully nonlinear free boundary problem arising from optimal dividend and risk control model. (English) Zbl 1427.93276 Math. Control Relat. Fields 9, No. 3, 425-452 (2019). MSC: 93E20 35R35 91G80 60G40 PDF BibTeX XML Cite \textit{C. Guan} et al., Math. Control Relat. Fields 9, No. 3, 425--452 (2019; Zbl 1427.93276) Full Text: DOI
Chuarkham, Khanchit; Intarasit, Arthit; Riyapan, Pakwan Ruin probability for hypo-exponential claim in classical risk process with reinsurance. (English) Zbl 1428.91014 Adv. Differ. Equ. Control Process. 20, No. 1, 37-51 (2019). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{K. Chuarkham} et al., Adv. Differ. Equ. Control Process. 20, No. 1, 37--51 (2019; Zbl 1428.91014) Full Text: DOI
Guan, Guohui; Liang, Zongxia Robust optimal reinsurance and investment strategies for an AAI with multiple risks. (English) Zbl 1427.91232 Insur. Math. Econ. 89, 63-78 (2019). MSC: 91G05 93E20 91G10 91G80 PDF BibTeX XML Cite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 89, 63--78 (2019; Zbl 1427.91232) Full Text: DOI
Cai, Jun; Wang, Ying Reinsurance premium principles based on weighted loss functions. (English) Zbl 1426.91206 Scand. Actuar. J. 2019, No. 10, 903-923 (2019). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{J. Cai} and \textit{Y. Wang}, Scand. Actuar. J. 2019, No. 10, 903--923 (2019; Zbl 1426.91206) Full Text: DOI
Cheung, K. C.; Yam, S. C. P.; Yuen, F. L. Reinsurance contract design with adverse selection. (English) Zbl 1426.91211 Scand. Actuar. J. 2019, No. 9, 784-798 (2019). MSC: 91G05 91B43 PDF BibTeX XML Cite \textit{K. C. Cheung} et al., Scand. Actuar. J. 2019, No. 9, 784--798 (2019; Zbl 1426.91211) Full Text: DOI
Hu, Duni; Wang, Hailong Optimal proportional reinsurance with a loss-dependent premium principle. (English) Zbl 1426.91223 Scand. Actuar. J. 2019, No. 9, 752-767 (2019). MSC: 91G05 91B16 PDF BibTeX XML Cite \textit{D. Hu} and \textit{H. Wang}, Scand. Actuar. J. 2019, No. 9, 752--767 (2019; Zbl 1426.91223) Full Text: DOI
Chen, Peimin; Luo, Xiankang Stochastic optimal control on dividend policies with bankruptcy. (English) Zbl 07122802 Optimization 68, No. 12, 2313-2333 (2019). MSC: 91G50 91G05 93E20 PDF BibTeX XML Cite \textit{P. Chen} and \textit{X. Luo}, Optimization 68, No. 12, 2313--2333 (2019; Zbl 07122802) Full Text: DOI
Planchet, Frédéric Impact of reinsurance: quantitative aspects. (English) Zbl 1426.91232 Dupourqué, Etienne (ed.) et al., Actuarial aspects of long-term care. Cham: Springer. Springer Actuar., 229-242 (2019). MSC: 91G05 PDF BibTeX XML Cite \textit{F. Planchet}, in: Actuarial aspects of long-term care. Cham: Springer. 229--242 (2019; Zbl 1426.91232) Full Text: DOI
Zhang, Xin; Meng, Hui; Xiong, Jie; Shen, Yang Robust optimal investment and reinsurance of an insurer under jump-diffusion models. (English) Zbl 1426.91237 Math. Control Relat. Fields 9, No. 1, 59-76 (2019). MSC: 91G05 91G80 93E20 93B35 91A15 91A23 60J75 60G50 PDF BibTeX XML Cite \textit{X. Zhang} et al., Math. Control Relat. Fields 9, No. 1, 59--76 (2019; Zbl 1426.91237) Full Text: DOI
Bui, Trang; Cheng, Xiang; Jin, Zhuo; Yin, George Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models. (English) Zbl 1426.91205 Nonlinear Anal., Hybrid Syst. 32, 276-293 (2019). MSC: 91G05 91A15 91A23 60J75 PDF BibTeX XML Cite \textit{T. Bui} et al., Nonlinear Anal., Hybrid Syst. 32, 276--293 (2019; Zbl 1426.91205) Full Text: DOI arXiv
Chang, Hao; Wang, Chunfeng; Fang, Zhenming Optimal reinsurance-investment strategy in a stochastic financial market. (Chinese. English summary) Zbl 1438.91105 Control Theory Appl. 36, No. 2, 307-318 (2019). MSC: 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{H. Chang} et al., Control Theory Appl. 36, No. 2, 307--318 (2019; Zbl 1438.91105) Full Text: DOI
Ma, Jianjing; Wang, Guojing An optimal reinsurance and investment problem with a defaultable security and a stock with Ornstein-Uhlenbeck process. (English) Zbl 1438.91114 Chin. J. Appl. Probab. Stat. 35, No. 2, 111-125 (2019). MSC: 91G05 91G20 60J60 PDF BibTeX XML Cite \textit{J. Ma} and \textit{G. Wang}, Chin. J. Appl. Probab. Stat. 35, No. 2, 111--125 (2019; Zbl 1438.91114) Full Text: DOI
Du, Junhong; Li, Zhiming; Wu, Lijun Optimal reinsurance design of the implicit default risk of the reinsurance company under Wang’s premium principle. (Chinese. English summary) Zbl 1438.91106 Chin. J. Appl. Probab. Stat. 35, No. 1, 73-85 (2019). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{J. Du} et al., Chin. J. Appl. Probab. Stat. 35, No. 1, 73--85 (2019; Zbl 1438.91106) Full Text: DOI
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen Optimal mean-variance investment/reinsurance with common shock in a regime-switching market. (English) Zbl 1429.62459 Math. Methods Oper. Res. 90, No. 1, 109-135 (2019). MSC: 62P05 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{J. Bi} et al., Math. Methods Oper. Res. 90, No. 1, 109--135 (2019; Zbl 1429.62459) Full Text: DOI
Boonen, Tim J.; Ghossoub, Mario On the existence of a representative reinsurer under heterogeneous beliefs. (English) Zbl 1425.91214 Insur. Math. Econ. 88, 209-225 (2019). MSC: 91B30 91B16 PDF BibTeX XML Cite \textit{T. J. Boonen} and \textit{M. Ghossoub}, Insur. Math. Econ. 88, 209--225 (2019; Zbl 1425.91214) Full Text: DOI
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, Wenjun Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion. (English) Zbl 1425.91238 Insur. Math. Econ. 88, 159-180 (2019). MSC: 91B30 91G40 91A80 PDF BibTeX XML Cite \textit{H. Zhao} et al., Insur. Math. Econ. 88, 159--180 (2019; Zbl 1425.91238) Full Text: DOI
Chen, Lv; Shen, Yang Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework. (English) Zbl 1425.91217 Insur. Math. Econ. 88, 120-137 (2019). MSC: 91B30 91A15 91A65 93E20 91A23 91A05 PDF BibTeX XML Cite \textit{L. Chen} and \textit{Y. Shen}, Insur. Math. Econ. 88, 120--137 (2019; Zbl 1425.91217) Full Text: DOI
Zhang, Qiang; Chen, Ping Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps. (English) Zbl 1410.91295 J. Comput. Appl. Math. 356, 46-66 (2019). MSC: 91B30 93E20 60J75 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, J. Comput. Appl. Math. 356, 46--66 (2019; Zbl 1410.91295) Full Text: DOI
Li, Danping; Young, Virginia R. Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. (English) Zbl 1410.91274 Insur. Math. Econ. 87, 143-152 (2019). MSC: 91B30 90C15 35Q91 PDF BibTeX XML Cite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 87, 143--152 (2019; Zbl 1410.91274) Full Text: DOI
Preischl, M.; Thonhauser, S. Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model. (English) Zbl 1410.91282 Insur. Math. Econ. 87, 82-91 (2019). MSC: 91B30 93E20 60K10 60J75 PDF BibTeX XML Cite \textit{M. Preischl} and \textit{S. Thonhauser}, Insur. Math. Econ. 87, 82--91 (2019; Zbl 1410.91282) Full Text: DOI
Asimit, Alexandru V.; Hu, Junlei; Xie, Yuantao Optimal robust insurance with a finite uncertainty set. (English) Zbl 1410.91254 Insur. Math. Econ. 87, 67-81 (2019). MSC: 91B30 90C90 49N90 91G60 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., Insur. Math. Econ. 87, 67--81 (2019; Zbl 1410.91254) Full Text: DOI
Brachetta, Matteo; Ceci, C. Optimal proportional reinsurance and investment for stochastic factor models. (English) Zbl 1410.91257 Insur. Math. Econ. 87, 15-33 (2019). MSC: 91B30 93E20 60G57 PDF BibTeX XML Cite \textit{M. Brachetta} and \textit{C. Ceci}, Insur. Math. Econ. 87, 15--33 (2019; Zbl 1410.91257) Full Text: DOI
Bi, Junna; Chen, Kailing Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles. (English) Zbl 1418.62373 RAIRO, Oper. Res. 53, No. 1, 179-206 (2019). MSC: 62P05 91B30 93E20 62P20 60J70 PDF BibTeX XML Cite \textit{J. Bi} and \textit{K. Chen}, RAIRO, Oper. Res. 53, No. 1, 179--206 (2019; Zbl 1418.62373) Full Text: DOI
Hu, Duni; Wang, Hailong Reinsurance contract design when the insurer is ambiguity-averse. (English) Zbl 1411.91287 Insur. Math. Econ. 86, 241-255 (2019). MSC: 91B30 91B40 PDF BibTeX XML Cite \textit{D. Hu} and \textit{H. Wang}, Insur. Math. Econ. 86, 241--255 (2019; Zbl 1411.91287) Full Text: DOI
Chen, Shumin; Liu, Yanchu; Weng, Chengguo Dynamic risk-sharing game and reinsurance contract design. (English) Zbl 1411.91270 Insur. Math. Econ. 86, 216-231 (2019). MSC: 91B30 91A15 93E20 PDF BibTeX XML Cite \textit{S. Chen} et al., Insur. Math. Econ. 86, 216--231 (2019; Zbl 1411.91270) Full Text: DOI
Castaño-Martínez, Antonia; Pigueiras, Gema; Sordo, Mangel A. On a family of risk measures based on largest claims. (English) Zbl 1411.91268 Insur. Math. Econ. 86, 92-97 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{A. Castaño-Martínez} et al., Insur. Math. Econ. 86, 92--97 (2019; Zbl 1411.91268) Full Text: DOI
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying Risk-adjusted bowley reinsurance under distorted probabilities. (English) Zbl 1411.91272 Insur. Math. Econ. 86, 64-72 (2019). MSC: 91B30 91A65 PDF BibTeX XML Cite \textit{K. C. Cheung} et al., Insur. Math. Econ. 86, 64--72 (2019; Zbl 1411.91272) Full Text: DOI
Wen, Yuzhen; Yin, Chuancun Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint. (English) Zbl 1411.91323 J. Funct. Spaces 2019, Article ID 6750892, 7 p. (2019). MSC: 91B30 49L99 PDF BibTeX XML Cite \textit{Y. Wen} and \textit{C. Yin}, J. Funct. Spaces 2019, Article ID 6750892, 7 p. (2019; Zbl 1411.91323) Full Text: DOI
Wang, Suxin; Rong, Ximin; Zhao, Hui Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market. (English) Zbl 1411.91319 J. Math. Anal. Appl. 474, No. 2, 1267-1288 (2019). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{S. Wang} et al., J. Math. Anal. Appl. 474, No. 2, 1267--1288 (2019; Zbl 1411.91319) Full Text: DOI
Jiang, Wenjun; Ren, Jiandong; Yang, Chen; Hong, Hanping On optimal reinsurance treaties in cooperative game under heterogeneous beliefs. (English) Zbl 1419.91372 Insur. Math. Econ. 85, 173-184 (2019). MSC: 91B30 91A12 91A05 91B26 PDF BibTeX XML Cite \textit{W. Jiang} et al., Insur. Math. Econ. 85, 173--184 (2019; Zbl 1419.91372) Full Text: DOI
Bi, Junna; Cai, Jun Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. (English) Zbl 1419.91349 Insur. Math. Econ. 85, 1-14 (2019). MSC: 91B30 62P05 93E20 91G70 PDF BibTeX XML Cite \textit{J. Bi} and \textit{J. Cai}, Insur. Math. Econ. 85, 1--14 (2019; Zbl 1419.91349) Full Text: DOI
Albrecher, Hansjörg; Cani, Arian On randomized reinsurance contracts. (English) Zbl 1419.91346 Insur. Math. Econ. 84, 67-78 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{H. Albrecher} and \textit{A. Cani}, Insur. Math. Econ. 84, 67--78 (2019; Zbl 1419.91346) Full Text: DOI
Xue, Xiaole; Wei, Pengyu; Weng, Chengguo Derivatives trading for insurers. (English) Zbl 1419.91387 Insur. Math. Econ. 84, 40-53 (2019). MSC: 91B30 91G20 91G10 93E20 PDF BibTeX XML Cite \textit{X. Xue} et al., Insur. Math. Econ. 84, 40--53 (2019; Zbl 1419.91387) Full Text: DOI
Luo, Shangzhen; Wang, Mingming; Zhu, Wei Maximizing a robust goal-reaching probability with penalization on ambiguity. (English) Zbl 1418.91248 J. Comput. Appl. Math. 348, 261-281 (2019). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{S. Luo} et al., J. Comput. Appl. Math. 348, 261--281 (2019; Zbl 1418.91248) Full Text: DOI
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang A constraint-free approach to optimal reinsurance. (English) Zbl 1418.91238 Scand. Actuar. J. 2019, No. 1, 62-79 (2019). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{H. U. Gerber} et al., Scand. Actuar. J. 2019, No. 1, 62--79 (2019; Zbl 1418.91238) Full Text: DOI
Guan, Chonghu; Yi, Fahuai; Chen, Jing Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain. (English) Zbl 1447.35397 J. Differ. Equations 266, No. 2-3, 1245-1284 (2019). Reviewer: Elisa Alòs (Barcelona) MSC: 35R35 60G40 91B70 93E20 PDF BibTeX XML Cite \textit{C. Guan} et al., J. Differ. Equations 266, No. 2--3, 1245--1284 (2019; Zbl 1447.35397) Full Text: DOI
Liu, Shengwang; Li, Bing Optimal time-consistent investment and reinsurance strategies for mean-variance insurer under the dependent risk model. (English) Zbl 1438.91112 J. Math., Wuhan Univ. 38, No. 6, 962-974 (2018). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{S. Liu} and \textit{B. Li}, J. Math., Wuhan Univ. 38, No. 6, 962--974 (2018; Zbl 1438.91112) Full Text: DOI
Li, Tong; Ma, Shixia; Han, Mi Optimal dividend and financing problems for a diffusion model with excess-of-loss reinsurance strategy and terminal value. (English) Zbl 1438.91111 J. Math., Wuhan Univ. 38, No. 6, 1031-1048 (2018). MSC: 91G05 60J70 PDF BibTeX XML Cite \textit{T. Li} et al., J. Math., Wuhan Univ. 38, No. 6, 1031--1048 (2018; Zbl 1438.91111) Full Text: DOI
Riegel, Ulrich Matching tower information with piecewise Pareto. (English) Zbl 1422.91374 Eur. Actuar. J. 8, No. 2, 437-460 (2018). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{U. Riegel}, Eur. Actuar. J. 8, No. 2, 437--460 (2018; Zbl 1422.91374) Full Text: DOI
Li, En; Wang, Yuanchang The application of the jump-diffusion model by the stochastic control theory in insurance. (Chinese. English summary) Zbl 1424.91056 Math. Pract. Theory 48, No. 14, 81-88 (2018). MSC: 91B30 91G10 93E20 60J75 PDF BibTeX XML Cite \textit{E. Li} and \textit{Y. Wang}, Math. Pract. Theory 48, No. 14, 81--88 (2018; Zbl 1424.91056)
Guo, Wenjing Optimal investment and reinsurance strategy selection based on behavior of loss aversion. (Chinese. English summary) Zbl 1424.91054 J. Syst. Sci. Math. Sci. 38, No. 9, 1005-1017 (2018). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{W. Guo}, J. Syst. Sci. Math. Sci. 38, No. 9, 1005--1017 (2018; Zbl 1424.91054)
Zhou, Rui; Rong, Ximin; Zhao, Hui Optimal reinsurance and investment strategies under CIR stochastic interest rate model. (Chinese. English summary) Zbl 1424.91075 Chin. J. Eng. Math. 35, No. 3, 245-257 (2018). MSC: 91B30 91G30 93E20 PDF BibTeX XML Cite \textit{R. Zhou} et al., Chin. J. Eng. Math. 35, No. 3, 245--257 (2018; Zbl 1424.91075) Full Text: DOI
Zhang, Xiaoyi Optimal management of defined contribution pension plan with investment and reinsurance. (English) Zbl 1424.91070 Acta Sci. Nat. Univ. Nankaiensis 51, No. 5, 66-70 (2018). MSC: 91B30 93E20 90C39 PDF BibTeX XML Cite \textit{X. Zhang}, Acta Sci. Nat. Univ. Nankaiensis 51, No. 5, 66--70 (2018; Zbl 1424.91070)
Li, Ya’nan; Guo, Junyi The optimal merging problem for two first-line insurers with investment and reinsurance policies. (Chinese. English summary) Zbl 1424.91058 Acta Math. Sin., Chin. Ser. 61, No. 6, 981-990 (2018). MSC: 91B30 60G40 PDF BibTeX XML Cite \textit{Y. Li} and \textit{J. Guo}, Acta Math. Sin., Chin. Ser. 61, No. 6, 981--990 (2018; Zbl 1424.91058)
Guo, Chang; Zhuo, Xiaoyang; Constantinescu, Corina; Pamen, Olivier Menoukeu Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation. (English) Zbl 1411.91281 Methodol. Comput. Appl. Probab. 20, No. 4, 1477-1502 (2018). MSC: 91B30 49L20 90C39 91G80 91G30 PDF BibTeX XML Cite \textit{C. Guo} et al., Methodol. Comput. Appl. Probab. 20, No. 4, 1477--1502 (2018; Zbl 1411.91281) Full Text: DOI
Zhang, Qiang; Cui, Qianqian; Chen, Ping Time-consistent reinsurance-investment strategy for mean-variance insurers with defaultable security and jumps. (English) Zbl 1419.91388 Hacet. J. Math. Stat. 47, No. 3, 763-781 (2018). MSC: 91B30 93E20 60G51 PDF BibTeX XML Cite \textit{Q. Zhang} et al., Hacet. J. Math. Stat. 47, No. 3, 763--781 (2018; Zbl 1419.91388) Full Text: DOI