Zhang, Wanlu; Meng, Hui Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle. (English) Zbl 07772190 Commun. Stat., Theory Methods 53, No. 1, 113-143 (2024). MSC: 62-XX PDF BibTeX XML Cite \textit{W. Zhang} and \textit{H. Meng}, Commun. Stat., Theory Methods 53, No. 1, 113--143 (2024; Zbl 07772190) Full Text: DOI
Zhang, Qiang; Wu, Lijun Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks. (English) Zbl 07772187 Commun. Stat., Theory Methods 53, No. 1, 34-65 (2024). MSC: 60H30 93E20 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{L. Wu}, Commun. Stat., Theory Methods 53, No. 1, 34--65 (2024; Zbl 07772187) Full Text: DOI
Brinker, Leonie Violetta; Schmidli, Hanspeter Optimisation of drawdowns by generalised reinsurance in the classical risk model. (English) Zbl 07767343 Decis. Econ. Finance 46, No. 2, 635-665 (2023). MSC: 91-XX PDF BibTeX XML Cite \textit{L. V. Brinker} and \textit{H. Schmidli}, Decis. Econ. Finance 46, No. 2, 635--665 (2023; Zbl 07767343) Full Text: DOI OA License
Torrente, Maria-Laura Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business. (English) Zbl 07767342 Decis. Econ. Finance 46, No. 2, 611-633 (2023). MSC: 91-XX 93E20 91B30 60J75 PDF BibTeX XML Cite \textit{M.-L. Torrente}, Decis. Econ. Finance 46, No. 2, 611--633 (2023; Zbl 07767342) Full Text: DOI OA License
Raj, K. Kapil; Srinivasan, S.; Nandakumar, C. D. Efficiency analysis of reinsurers in India: a three stage fuzzy closed system DEA approach. (English) Zbl 07759813 Opsearch 60, No. 3, 1179-1201 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{K. K. Raj} et al., Opsearch 60, No. 3, 1179--1201 (2023; Zbl 07759813) Full Text: DOI
Meng, Hui; Wei, Li; Zhou, Ming Multiple per-claim reinsurance based on maximizing the Lundberg exponent. (English) Zbl 07749727 Insur. Math. Econ. 112, 33-47 (2023). MSC: 91G05 PDF BibTeX XML Cite \textit{H. Meng} et al., Insur. Math. Econ. 112, 33--47 (2023; Zbl 07749727) Full Text: DOI
Mi, Hui; Di, Wenrong; Lin, Jinguan Optimal investment and reinsurance with Vasicek interest rate and dependent risk. (Chinese. English summary) Zbl 07745106 Chin. J. Appl. Probab. Stat. 39, No. 2, 239-258 (2023). MSC: 91G10 91G80 93E20 PDF BibTeX XML Cite \textit{H. Mi} et al., Chin. J. Appl. Probab. Stat. 39, No. 2, 239--258 (2023; Zbl 07745106) Full Text: Link
Chen, Tao; Li, Zhiming; Wu, Lijun; Hu, Yijun Optimal design of default risk reinsurance under general premium principle. (Chinese. English summary) Zbl 07745098 Chin. J. Appl. Probab. Stat. 39, No. 1, 101-116 (2023). MSC: 91-XX PDF BibTeX XML Cite \textit{T. Chen} et al., Chin. J. Appl. Probab. Stat. 39, No. 1, 101--116 (2023; Zbl 07745098) Full Text: Link
Yi, Haoran; Zhang, Xuekang; Shan, Yuanchuang; Shu, Huisheng Optimal portfolio and reinsurance with two differential risky assets. (English) Zbl 07736133 Commun. Stat., Theory Methods 52, No. 19, 7094-7114 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{H. Yi} et al., Commun. Stat., Theory Methods 52, No. 19, 7094--7114 (2023; Zbl 07736133) Full Text: DOI
Tian, Linlin; Li, Guoqing; Lv, You Optimal reinsurance and investment problem with the minimum capital deposit constraint. (English) Zbl 07736113 Commun. Stat., Theory Methods 52, No. 19, 6751-6766 (2023). MSC: 35A09 93E20 PDF BibTeX XML Cite \textit{L. Tian} et al., Commun. Stat., Theory Methods 52, No. 19, 6751--6766 (2023; Zbl 07736113) Full Text: DOI
Petturiti, Davide; Stabile, Gabriele; Vantaggi, Barbara Addressing ambiguity in randomized reinsurance stop-loss treaties using belief functions. (English) Zbl 07734033 Int. J. Approx. Reasoning 161, Article ID 108986, 22 p. (2023). MSC: 68T37 PDF BibTeX XML Cite \textit{D. Petturiti} et al., Int. J. Approx. Reasoning 161, Article ID 108986, 22 p. (2023; Zbl 07734033) Full Text: DOI
Liang, Xiaoqing; Young, Virginia R. Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift. (English) Zbl 1521.91318 J. Appl. Probab. 60, No. 3, 874-894 (2023). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, J. Appl. Probab. 60, No. 3, 874--894 (2023; Zbl 1521.91318) Full Text: DOI
Crevecoeur, Jonas; Antonio, Katrien; Desmedt, Stijn; Masquelein, Alexandre Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims. (English) Zbl 1520.91321 ASTIN Bull. 53, No. 2, 185-212 (2023). MSC: 91G05 PDF BibTeX XML Cite \textit{J. Crevecoeur} et al., ASTIN Bull. 53, No. 2, 185--212 (2023; Zbl 1520.91321) Full Text: DOI arXiv
Bin, Ning; Zhu, Huainian; Zhang, Chengke Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model. (English) Zbl 1520.91309 Methodol. Comput. Appl. Probab. 25, No. 2, Paper No. 54, 27 p. (2023). MSC: 91G05 91A15 60H30 91A80 PDF BibTeX XML Cite \textit{N. Bin} et al., Methodol. Comput. Appl. Probab. 25, No. 2, Paper No. 54, 27 p. (2023; Zbl 1520.91309) Full Text: DOI
Yu, Han; Zhang, Yu; Wang, Xikui Minimization of ruin probability with joint strategies of investment and reinsurance. (English) Zbl 07711325 Commun. Stat., Theory Methods 52, No. 15, 5451-5469 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{H. Yu} et al., Commun. Stat., Theory Methods 52, No. 15, 5451--5469 (2023; Zbl 07711325) Full Text: DOI
Li, Sheng Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks. (English) Zbl 07711317 Commun. Stat., Theory Methods 52, No. 15, 5294-5331 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{S. Li}, Commun. Stat., Theory Methods 52, No. 15, 5294--5331 (2023; Zbl 07711317) Full Text: DOI
Colaneri, Katia; Eisenberg, Julia; Salterini, Benedetta Some optimisation problems in insurance with a terminal distribution constraint. (English) Zbl 1520.91320 Scand. Actuar. J. 2023, No. 7, 655-678 (2023). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{K. Colaneri} et al., Scand. Actuar. J. 2023, No. 7, 655--678 (2023; Zbl 1520.91320) Full Text: DOI arXiv
Hu, Duni; Wang, Hailong Reinsurance contract design with heterogeneous beliefs and learning. (English) Zbl 07710580 Commun. Stat., Theory Methods 52, No. 14, 5026-5047 (2023). MSC: 91-XX 68-XX PDF BibTeX XML Cite \textit{D. Hu} and \textit{H. Wang}, Commun. Stat., Theory Methods 52, No. 14, 5026--5047 (2023; Zbl 07710580) Full Text: DOI
Cao, Jingyi; Li, Dongchen; Young, Virginia R.; Zou, Bin Reinsurance games with two reinsurers: tree versus chain. (English) Zbl 07709859 Eur. J. Oper. Res. 310, No. 2, 928-941 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{J. Cao} et al., Eur. J. Oper. Res. 310, No. 2, 928--941 (2023; Zbl 07709859) Full Text: DOI
Wang, Ling; Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying Optimal expansion of business opportunity. (English) Zbl 07709318 Eur. J. Oper. Res. 309, No. 1, 432-445 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{L. Wang} et al., Eur. J. Oper. Res. 309, No. 1, 432--445 (2023; Zbl 07709318) Full Text: DOI arXiv
Zhu, Dan; Yin, Chuancun Optimal reinsurance policy under a new distortion risk measure. (English) Zbl 07706307 Commun. Stat., Theory Methods 52, No. 12, 4151-4164 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{D. Zhu} and \textit{C. Yin}, Commun. Stat., Theory Methods 52, No. 12, 4151--4164 (2023; Zbl 07706307) Full Text: DOI
Boonen, Tim J.; Ghossoub, Mario Bowley vs. Pareto optima in reinsurance contracting. (English) Zbl 07705821 Eur. J. Oper. Res. 307, No. 1, 382-391 (2023). MSC: 91B30 PDF BibTeX XML Cite \textit{T. J. Boonen} and \textit{M. Ghossoub}, Eur. J. Oper. Res. 307, No. 1, 382--391 (2023; Zbl 07705821) Full Text: DOI
Fung, Derrick W. H.; Wei, Pengyu; Yang, Charles C. State subsidized reinsurance programs: impacts on efficiency, premiums, and expenses of the U.S. health insurance markets. (English) Zbl 07705434 Eur. J. Oper. Res. 306, No. 2, 941-954 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{D. W. H. Fung} et al., Eur. J. Oper. Res. 306, No. 2, 941--954 (2023; Zbl 07705434) Full Text: DOI
Abbaspour, Manijeh; Vajargah, Kianoush Fathi; Azhdari, Parvin An efficient algorithm for pricing reinsurance contract under the regime-switching model. (English) Zbl 07704408 Math. Comput. Simul. 211, 278-300 (2023). MSC: 91-XX 62-XX PDF BibTeX XML Cite \textit{M. Abbaspour} et al., Math. Comput. Simul. 211, 278--300 (2023; Zbl 07704408) Full Text: DOI
Gao, Rui; Bai, Yanfei A Stackelberg reinsurance-investment game with derivatives trading. (English) Zbl 1519.91212 Bound. Value Probl. 2023, Paper No. 43, 24 p. (2023). MSC: 91G05 91G20 91A65 91A15 PDF BibTeX XML Cite \textit{R. Gao} and \textit{Y. Bai}, Bound. Value Probl. 2023, Paper No. 43, 24 p. (2023; Zbl 1519.91212) Full Text: DOI
Rong, Ximin; Yan, Yiqi; Zhao, Hui Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model. (English) Zbl 1519.91222 Int. J. Control 96, No. 4, 839-852 (2023). MSC: 91G05 49L12 35B20 35B40 PDF BibTeX XML Cite \textit{X. Rong} et al., Int. J. Control 96, No. 4, 839--852 (2023; Zbl 1519.91222) Full Text: DOI
Hu, Chengyong; Song, Haiyan; Wei, Linxiao Optimal reinsurance with general premium principles based on RVaR and WVaR. (English) Zbl 07700993 J. Ind. Manag. Optim. 19, No. 11, 8411-8428 (2023). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{C. Hu} et al., J. Ind. Manag. Optim. 19, No. 11, 8411--8428 (2023; Zbl 07700993) Full Text: DOI
Zhang, Qiang Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps. (English) Zbl 07700985 J. Ind. Manag. Optim. 19, No. 11, 8207-8244 (2023). MSC: 91G05 93E20 34K50 60J74 PDF BibTeX XML Cite \textit{Q. Zhang}, J. Ind. Manag. Optim. 19, No. 11, 8207--8244 (2023; Zbl 07700985) Full Text: DOI
Ma, Jingtang; Lu, Zhengyang; Chen, Dengsheng Optimal reinsurance-investment with loss aversion under rough Heston model. (English) Zbl 1519.91216 Quant. Finance 23, No. 1, 95-109 (2023). MSC: 91G05 91B70 PDF BibTeX XML Cite \textit{J. Ma} et al., Quant. Finance 23, No. 1, 95--109 (2023; Zbl 1519.91216) Full Text: DOI
Wu, Fan; Zhang, Xin; Liang, Zhibin Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model. (English) Zbl 1518.91228 Math. Control Relat. Fields 13, No. 3, 1131-1159 (2023). MSC: 91G05 49L12 PDF BibTeX XML Cite \textit{F. Wu} et al., Math. Control Relat. Fields 13, No. 3, 1131--1159 (2023; Zbl 1518.91228) Full Text: DOI
Wang, Chuchu; Wang, Wei; Zhang, Yiying; Zhao, Peng Optimal allocation of policy limits in layer reinsurance treaties. (English) Zbl 1518.91227 Probab. Eng. Inf. Sci. 37, No. 2, 546-566 (2023). MSC: 91G05 60E15 PDF BibTeX XML Cite \textit{C. Wang} et al., Probab. Eng. Inf. Sci. 37, No. 2, 546--566 (2023; Zbl 1518.91227) Full Text: DOI
Boonen, Tim J.; Jiang, Wenjun Pareto-optimal reinsurance with default risk and solvency regulation. (English) Zbl 1518.91213 Probab. Eng. Inf. Sci. 37, No. 2, 518-545 (2023). MSC: 91G05 PDF BibTeX XML Cite \textit{T. J. Boonen} and \textit{W. Jiang}, Probab. Eng. Inf. Sci. 37, No. 2, 518--545 (2023; Zbl 1518.91213) Full Text: DOI
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming A class of non-zero-sum stochastic differential games between two mean-variance insurers under stochastic volatility. (English) Zbl 1518.91231 Probab. Eng. Inf. Sci. 37, No. 2, 491-517 (2023). MSC: 91G05 91A15 91A80 60H30 PDF BibTeX XML Cite \textit{J. Zhang} et al., Probab. Eng. Inf. Sci. 37, No. 2, 491--517 (2023; Zbl 1518.91231) Full Text: DOI
Jang, Jiwook; Qu, Yan; Zhao, Hongbiao; Dassios, Angelos A Cox model for gradually disappearing events. (English) Zbl 1518.91042 Probab. Eng. Inf. Sci. 37, No. 1, 214-231 (2023). MSC: 91B05 60G55 91G05 PDF BibTeX XML Cite \textit{J. Jang} et al., Probab. Eng. Inf. Sci. 37, No. 1, 214--231 (2023; Zbl 1518.91042) Full Text: DOI
Fishman, George S.; Stidham, Shaler An adaptive strategy for offering \(m\)-out-of-\(n\) insurance policies. (English) Zbl 1519.91211 Probab. Eng. Inf. Sci. 37, No. 1, 106-134 (2023). MSC: 91G05 91B16 PDF BibTeX XML Cite \textit{G. S. Fishman} and \textit{S. Stidham}, Probab. Eng. Inf. Sci. 37, No. 1, 106--134 (2023; Zbl 1519.91211) Full Text: DOI
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel; Heras, Antonio Actuarial pricing with financial methods. (English) Zbl 1521.91309 Scand. Actuar. J. 2023, No. 5, 450-476 (2023). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91G15 PDF BibTeX XML Cite \textit{A. Balbás} et al., Scand. Actuar. J. 2023, No. 5, 450--476 (2023; Zbl 1521.91309) Full Text: DOI
Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan Optimal investment and reinsurance strategies under 4/2 stochastic volatility model. (English) Zbl 1521.91322 Scand. Actuar. J. 2023, No. 5, 413-449 (2023). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 35Q91 PDF BibTeX XML Cite \textit{W. Wang} et al., Scand. Actuar. J. 2023, No. 5, 413--449 (2023; Zbl 1521.91322) Full Text: DOI
Chen, Zhiping; Yang, Peng; Gan, Yujie Optimal reinsurance and investment with a common shock and a random exit time. (English) Zbl 07689352 RAIRO, Oper. Res. 57, No. 2, 881-903 (2023). MSC: 62P05 91B28 93E20 PDF BibTeX XML Cite \textit{Z. Chen} et al., RAIRO, Oper. Res. 57, No. 2, 881--903 (2023; Zbl 07689352) Full Text: DOI
He, Yong; He, Lin; Chen, Dengsheng; Liu, Zhezhi Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets. (English) Zbl 07677912 J. Ind. Manag. Optim. 19, No. 9, 6806-6825 (2023). MSC: 91Bxx 91A16 PDF BibTeX XML Cite \textit{Y. He} et al., J. Ind. Manag. Optim. 19, No. 9, 6806--6825 (2023; Zbl 07677912) Full Text: DOI
Shen, Weiwei Optimal investment and reinsurance strategies for an insurer with stochastic economic factor. (English) Zbl 07673116 Hacet. J. Math. Stat. 52, No. 1, 197-208 (2023). MSC: 91B70 49J20 93E20 60J60 90C39 35F21 60G55 60G51 PDF BibTeX XML Cite \textit{W. Shen}, Hacet. J. Math. Stat. 52, No. 1, 197--208 (2023; Zbl 07673116) Full Text: DOI
Azcue, Pablo; Liang, Xiaoqing; Muler, Nora; Young, Virginia R. Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle: asymptotic analysis. (English) Zbl 1511.91112 SIAM J. Financ. Math. 14, No. 1, 279-313 (2023). MSC: 91G05 93E20 35B51 PDF BibTeX XML Cite \textit{P. Azcue} et al., SIAM J. Financ. Math. 14, No. 1, 279--313 (2023; Zbl 1511.91112) Full Text: DOI arXiv
Huang, Ying; Huang, Ya; Zhou, Jieming Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables. (English) Zbl 07669005 J. Ind. Manag. Optim. 19, No. 8, 6182-6199 (2023). MSC: 91G10 60H30 PDF BibTeX XML Cite \textit{Y. Huang} et al., J. Ind. Manag. Optim. 19, No. 8, 6182--6199 (2023; Zbl 07669005) Full Text: DOI
Chen, Fenge; He, Zhiqiang; Peng, Xingchun A non-zero-sum stochastic differential game between two mean-variance insurers with inside information. (English) Zbl 07669003 J. Ind. Manag. Optim. 19, No. 8, 6130-6158 (2023). MSC: 91G05 91A15 91A80 PDF BibTeX XML Cite \textit{F. Chen} et al., J. Ind. Manag. Optim. 19, No. 8, 6130--6158 (2023; Zbl 07669003) Full Text: DOI
Zhou, Xia; Chen, Peimin; Zhang, Jiawei; Tu, Jingwen; He, Yong The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment. (English) Zbl 07668935 J. Ind. Manag. Optim. 19, No. 6, 4551-4590 (2023). MSC: 91G05 91B16 49L12 PDF BibTeX XML Cite \textit{X. Zhou} et al., J. Ind. Manag. Optim. 19, No. 6, 4551--4590 (2023; Zbl 07668935) Full Text: DOI
Zhou, Guoyong; Qiu, Zhijian; Li, Sheng A Stackelberg reinsurance-investment game under Heston’s stochastic volatility model. (English) Zbl 07668927 J. Ind. Manag. Optim. 19, No. 6, 4350-4380 (2023). MSC: 91G05 91A65 91A15 91A80 91B70 PDF BibTeX XML Cite \textit{G. Zhou} et al., J. Ind. Manag. Optim. 19, No. 6, 4350--4380 (2023; Zbl 07668927) Full Text: DOI
Mhlanga, Farai Julius; Galane, Lesiba Charles; Mwareya, Nicholas; Chikodza, Eriyoti; Guambe, Calisto Stochastic differential game strategies in the presence of reinsurance and dividend payout. (English) Zbl 07668893 J. Ind. Manag. Optim. 19, No. 5, 3589-3609 (2023). MSC: 91G05 91A15 91A10 91A80 PDF BibTeX XML Cite \textit{F. J. Mhlanga} et al., J. Ind. Manag. Optim. 19, No. 5, 3589--3609 (2023; Zbl 07668893) Full Text: DOI
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate. (English) Zbl 1511.91120 Scand. Actuar. J. 2023, No. 2, 123-152 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDF BibTeX XML Cite \textit{L. Wang} et al., Scand. Actuar. J. 2023, No. 2, 123--152 (2023; Zbl 1511.91120) Full Text: DOI arXiv
Xie, Pengxu; Bai, Lihua; Zhang, Huayue Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer. (English) Zbl 1513.91065 J. Ind. Manag. Optim. 19, No. 3, 1827-1845 (2023). MSC: 91G05 93E20 60J70 PDF BibTeX XML Cite \textit{P. Xie} et al., J. Ind. Manag. Optim. 19, No. 3, 1827--1845 (2023; Zbl 1513.91065) Full Text: DOI
Zhang, Yan; Zhao, Peibiao; Zhou, Huaren The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility. (English) Zbl 1513.91068 Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 1, 97-124 (2023). MSC: 91G05 91B16 44A15 PDF BibTeX XML Cite \textit{Y. Zhang} et al., Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 1, 97--124 (2023; Zbl 1513.91068) Full Text: DOI
Yuan, Yu; Liang, Zhibin; Han, Xia Robust optimal reinsurance in minimizing the penalized expected time to reach a goal. (English) Zbl 1500.91117 J. Comput. Appl. Math. 420, Article ID 114816, 19 p. (2023). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Y. Yuan} et al., J. Comput. Appl. Math. 420, Article ID 114816, 19 p. (2023; Zbl 1500.91117) Full Text: DOI
Hu, Shaoyong; Yin, Weiyue; Hu, Jun The optimal strategy of generalized underwriting with the variance premium principle for the inclusive health insurance. (English) Zbl 07701196 Chin. J. Appl. Probab. Stat. 38, No. 4, 617-632 (2022). MSC: 92D25 PDF BibTeX XML Cite \textit{S. Hu} et al., Chin. J. Appl. Probab. Stat. 38, No. 4, 617--632 (2022; Zbl 07701196) Full Text: Link
Petturiti, Davide; Stabile, Gabriele; Vantaggi, Barbara Addressing ambiguity in randomized reinsurance contracts using belief functions. (English) Zbl 07691544 Le Hégarat-Mascle, Sylvie (ed.) et al., Belief functions: theory and applications. 7th international conference, BELIEF 2022, Paris, France, October 26–28, 2022. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 13506, 286-296 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{D. Petturiti} et al., Lect. Notes Comput. Sci. 13506, 286--296 (2022; Zbl 07691544) Full Text: DOI
Zhao, Xia; Li, Mengjie; Si, Qinrui Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer. (English) Zbl 1512.91114 Electron Res. Arch. 30, No. 12, 4619-4634 (2022). MSC: 91G05 91G20 49L20 PDF BibTeX XML Cite \textit{X. Zhao} et al., Electron Res. Arch. 30, No. 12, 4619--4634 (2022; Zbl 1512.91114) Full Text: DOI
Zhang, Yan; Zhao, Peibiao; Ma, Rufei Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk. (English) Zbl 1508.91491 Methodol. Comput. Appl. Probab. 24, No. 4, 2743-2777 (2022). MSC: 91G05 49L12 93E20 PDF BibTeX XML Cite \textit{Y. Zhang} et al., Methodol. Comput. Appl. Probab. 24, No. 4, 2743--2777 (2022; Zbl 1508.91491) Full Text: DOI
Liu, Haiyan; Mao, Tiantian Distributionally robust reinsurance with value-at-risk and conditional value-at-risk. (English) Zbl 1507.91187 Insur. Math. Econ. 107, 393-417 (2022). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{H. Liu} and \textit{T. Mao}, Insur. Math. Econ. 107, 393--417 (2022; Zbl 1507.91187) Full Text: DOI
Yan, Tingjin; Park, Kyunghyun; Wong, Hoi Ying Irreversible reinsurance: a singular control approach. (English) Zbl 1507.91195 Insur. Math. Econ. 107, 326-348 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{T. Yan} et al., Insur. Math. Econ. 107, 326--348 (2022; Zbl 1507.91195) Full Text: DOI
Ghossoub, Mario; Jiang, Wenjun; Ren, Jiandong Pareto-optimal reinsurance under individual risk constraints. (English) Zbl 1507.91178 Insur. Math. Econ. 107, 307-325 (2022). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{M. Ghossoub} et al., Insur. Math. Econ. 107, 307--325 (2022; Zbl 1507.91178) Full Text: DOI
Goegebeur, Yuri; Guillou, Armelle; Pedersen, Tine; Qin, Jing Extreme-value based estimation of the conditional tail moment with application to reinsurance rating. (English) Zbl 1510.91145 Insur. Math. Econ. 107, 102-122 (2022). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 62P05 62G32 PDF BibTeX XML Cite \textit{Y. Goegebeur} et al., Insur. Math. Econ. 107, 102--122 (2022; Zbl 1510.91145) Full Text: DOI
Korn, Ralf; Müller, Lukas Optimal dynamic reinsurance with worst-case default of the reinsurer. (English) Zbl 1505.91332 Eur. Actuar. J. 12, No. 2, 879-885 (2022). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{R. Korn} and \textit{L. Müller}, Eur. Actuar. J. 12, No. 2, 879--885 (2022; Zbl 1505.91332) Full Text: DOI
Azarbad, M.; Parham, G. A.; Alavi, S. M. R. Optimal multidimensional reinsurance policies under a common shock dependency structure. (English) Zbl 1505.91319 Eur. Actuar. J. 12, No. 2, 559-577 (2022). MSC: 91G05 93E20 49L20 PDF BibTeX XML Cite \textit{M. Azarbad} et al., Eur. Actuar. J. 12, No. 2, 559--577 (2022; Zbl 1505.91319) Full Text: DOI
Kong, Xiaoyu; Lü, Yuhua Optimal excess-of-loss reinsurance and investment with stochastic factor process. (English) Zbl 07633428 Commun. Stat., Theory Methods 51, No. 24, 8705-8727 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{X. Kong} and \textit{Y. Lü}, Commun. Stat., Theory Methods 51, No. 24, 8705--8727 (2022; Zbl 07633428) Full Text: DOI
Duan, Shida; Liang, Zhibin Optimal investment and reinsurance on survival and growth problems for the risk model with common shock dependence. (English) Zbl 1505.91327 RAIRO, Oper. Res. 56, No. 5, 3611-3634 (2022). MSC: 91G05 93E20 49L12 62P05 PDF BibTeX XML Cite \textit{S. Duan} and \textit{Z. Liang}, RAIRO, Oper. Res. 56, No. 5, 3611--3634 (2022; Zbl 1505.91327) Full Text: DOI
Guan, Guohui; Li, Bin Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution. (English) Zbl 1517.91190 J. Econ. Dyn. Control 143, Article ID 104515, 20 p. (2022). MSC: 91G05 91G10 PDF BibTeX XML Cite \textit{G. Guan} and \textit{B. Li}, J. Econ. Dyn. Control 143, Article ID 104515, 20 p. (2022; Zbl 1517.91190) Full Text: DOI
Lefèvre, Claude; Tamturk, Muhsin More for less insurance model: an alternative to (re)insurance. (English) Zbl 1498.91364 J. Stat. Theory Pract. 16, No. 4, Paper No. 64, 19 p. (2022). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{C. Lefèvre} and \textit{M. Tamturk}, J. Stat. Theory Pract. 16, No. 4, Paper No. 64, 19 p. (2022; Zbl 1498.91364) Full Text: DOI
Hu, Duni; Wang, Hailong Robust reinsurance contract with learning and ambiguity aversion. (English) Zbl 1501.91154 Scand. Actuar. J. 2022, No. 9, 794-815 (2022). MSC: 91G05 91B16 PDF BibTeX XML Cite \textit{D. Hu} and \textit{H. Wang}, Scand. Actuar. J. 2022, No. 9, 794--815 (2022; Zbl 1501.91154) Full Text: DOI
Gu, Ailing; Chen, Shumin; Li, Zhongfei; Viens, Frederi G. Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model. (English) Zbl 1501.91153 Scand. Actuar. J. 2022, No. 9, 749-774 (2022). MSC: 91G05 91B43 49L20 91A65 PDF BibTeX XML Cite \textit{A. Gu} et al., Scand. Actuar. J. 2022, No. 9, 749--774 (2022; Zbl 1501.91153) Full Text: DOI
Yuan, Yu; Liang, Zhibin; Han, Xia Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion. (English) Zbl 1503.91094 Math. Methods Oper. Res. 96, No. 2, 259-290 (2022). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Y. Yuan} et al., Math. Methods Oper. Res. 96, No. 2, 259--290 (2022; Zbl 1503.91094) Full Text: DOI
Yuan, Yu; Mi, Hui; Chen, Hui Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market. (English) Zbl 1508.91490 Optimization 71, No. 10, 2789-2818 (2022). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91B16 93E20 PDF BibTeX XML Cite \textit{Y. Yuan} et al., Optimization 71, No. 10, 2789--2818 (2022; Zbl 1508.91490) Full Text: DOI
Li, Danping; Rong, Ximin; Wang, Yajie; Zhao, Hui Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer. (English) Zbl 07596341 Commun. Stat., Theory Methods 51, No. 21, 7496-7527 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{D. Li} et al., Commun. Stat., Theory Methods 51, No. 21, 7496--7527 (2022; Zbl 07596341) Full Text: DOI
Han, Xia; Liang, Zhibin; Yuan, Yu; Zhang, Caibin Optimal per-loss reinsurance and investment to minimize the probability of drawdown. (English) Zbl 1513.91060 J. Ind. Manag. Optim. 18, No. 6, 4011-4041 (2022). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{X. Han} et al., J. Ind. Manag. Optim. 18, No. 6, 4011--4041 (2022; Zbl 1513.91060) Full Text: DOI arXiv
Zhang, Liming; Wang, Rongming; Wei, Jiaqin Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints. (English) Zbl 1513.90111 J. Ind. Manag. Optim. 18, No. 6, 3897-3927 (2022). MSC: 90B50 93E20 91G80 PDF BibTeX XML Cite \textit{L. Zhang} et al., J. Ind. Manag. Optim. 18, No. 6, 3897--3927 (2022; Zbl 1513.90111) Full Text: DOI
Boonen, Tim J.; Zhang, Yiying Bowley reinsurance with asymmetric information: a first-best solution. (English) Zbl 1498.91351 Scand. Actuar. J. 2022, No. 6, 532-551 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{T. J. Boonen} and \textit{Y. Zhang}, Scand. Actuar. J. 2022, No. 6, 532--551 (2022; Zbl 1498.91351) Full Text: DOI
Zhang, Yongtao; Zhao, Hui; Rong, Ximin; Han, Kai Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk. (English) Zbl 07585007 Commun. Stat., Theory Methods 51, No. 19, 6535-6558 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Zhang} et al., Commun. Stat., Theory Methods 51, No. 19, 6535--6558 (2022; Zbl 07585007) Full Text: DOI
Zhu, Shihao; Shi, Jingtao Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information. (English) Zbl 1497.91268 J. Syst. Sci. Complex. 35, No. 4, 1458-1479 (2022). MSC: 91G05 60G35 PDF BibTeX XML Cite \textit{S. Zhu} and \textit{J. Shi}, J. Syst. Sci. Complex. 35, No. 4, 1458--1479 (2022; Zbl 1497.91268) Full Text: DOI arXiv
Meng, Hui; Wei, Pengyu; Zhang, Wanlu; Zhuang, Sheng Chao Optimal dynamic reinsurance under heterogeneous beliefs and CARA utility. (English) Zbl 07574021 SIAM J. Financ. Math. 13, No. 3, 903-943 (2022). MSC: 62P05 91G05 93E20 PDF BibTeX XML Cite \textit{H. Meng} et al., SIAM J. Financ. Math. 13, No. 3, 903--943 (2022; Zbl 07574021) Full Text: DOI
Chen, Mi; Zhou, Ming; Liu, Haiyan; Yuen, Kam Chuen Optimal dividends and reinsurance with capital injection under thinning dependence. (English) Zbl 07565516 Commun. Stat., Theory Methods 51, No. 16, 5728-5749 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Chen} et al., Commun. Stat., Theory Methods 51, No. 16, 5728--5749 (2022; Zbl 07565516) Full Text: DOI
Wang, Yijun; Deng, Yingchun; Huang, Ya; Zhou, Jieming; Xiang, Xuyan Optimal reinsurance-investment policies for insurers with mispricing under mean-variance criterion. (English) Zbl 07565512 Commun. Stat., Theory Methods 51, No. 16, 5653-5680 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Wang} et al., Commun. Stat., Theory Methods 51, No. 16, 5653--5680 (2022; Zbl 07565512) Full Text: DOI
Li, Jingchao; Su, Bihao; Wei, Zhenghong; Nie, Ciyu A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model. (English) Zbl 1491.60134 Methodol. Comput. Appl. Probab. 24, No. 3, 2169-2194 (2022). MSC: 60J28 62P05 91G05 PDF BibTeX XML Cite \textit{J. Li} et al., Methodol. Comput. Appl. Probab. 24, No. 3, 2169--2194 (2022; Zbl 1491.60134) Full Text: DOI
de Moura, A. Bugalho; Centeno, M. L. Optimal reinsurance of dependent risks. (English) Zbl 1491.62153 REVSTAT 20, No. 2, 135-177 (2022). MSC: 62P05 91G05 PDF BibTeX XML Cite \textit{A. B. de Moura} and \textit{M. L. Centeno}, REVSTAT 20, No. 2, 135--177 (2022; Zbl 1491.62153)
Kyriakou, Ioannis; Tsanakas, Andreas Efficient evaluation of alternative reinsurance strategies using control variates. (English) Zbl 1492.91427 Eur. Actuar. J. 12, No. 1, 425-431 (2022). MSC: 91G60 91G05 PDF BibTeX XML Cite \textit{I. Kyriakou} and \textit{A. Tsanakas}, Eur. Actuar. J. 12, No. 1, 425--431 (2022; Zbl 1492.91427) Full Text: DOI Link
Fackler, Michael Premium rating without losses. (English) Zbl 1492.91288 Eur. Actuar. J. 12, No. 1, 275-316 (2022). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{M. Fackler}, Eur. Actuar. J. 12, No. 1, 275--316 (2022; Zbl 1492.91288) Full Text: DOI
Zanotto, Alberto; Clemente, Gian Paolo An optimal reinsurance simulation model for non-life insurance in the Solvency II framework. (English) Zbl 1492.91319 Eur. Actuar. J. 12, No. 1, 89-123 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{A. Zanotto} and \textit{G. P. Clemente}, Eur. Actuar. J. 12, No. 1, 89--123 (2022; Zbl 1492.91319) Full Text: DOI
Boonen, Tim J.; Jiang, Wenjun A marginal indemnity function approach to optimal reinsurance under the Vajda condition. (English) Zbl 07562460 Eur. J. Oper. Res. 303, No. 2, 928-944 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{T. J. Boonen} and \textit{W. Jiang}, Eur. J. Oper. Res. 303, No. 2, 928--944 (2022; Zbl 07562460) Full Text: DOI
Wang, Yinzhi; Bølviken, Erik How much is optimal reinsurance degraded by error? (English) Zbl 1498.91371 N. Am. Actuar. J. 26, No. 2, 283-297 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDF BibTeX XML Cite \textit{Y. Wang} and \textit{E. Bølviken}, N. Am. Actuar. J. 26, No. 2, 283--297 (2022; Zbl 1498.91371) Full Text: DOI arXiv
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. (English) Zbl 1492.91276 Insur. Math. Econ. 105, 252-278 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{C. Ceci} et al., Insur. Math. Econ. 105, 252--278 (2022; Zbl 1492.91276) Full Text: DOI arXiv
Escobar-Anel, Marcos; Havrylenko, Yevhen; Kschonnek, Michel; Zagst, Rudi Decrease of capital guarantees in life insurance products: can reinsurance stop it? (English) Zbl 1492.91287 Insur. Math. Econ. 105, 14-40 (2022). MSC: 91G05 91G10 91G70 PDF BibTeX XML Cite \textit{M. Escobar-Anel} et al., Insur. Math. Econ. 105, 14--40 (2022; Zbl 1492.91287) Full Text: DOI arXiv
Brinker, Leonie Violetta; Schmidli, Hanspeter Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance. (English) Zbl 1489.91215 J. Appl. Probab. 59, No. 2, 527-540 (2022). MSC: 91G05 93E20 60G44 60J60 PDF BibTeX XML Cite \textit{L. V. Brinker} and \textit{H. Schmidli}, J. Appl. Probab. 59, No. 2, 527--540 (2022; Zbl 1489.91215) Full Text: DOI
Tian, Yingxu; Sun, Zhongyang; Guo, Junyi Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process. (English) Zbl 1490.91177 Methodol. Comput. Appl. Probab. 24, No. 2, 1169-1191 (2022). MSC: 91G05 91G10 62P05 93E20 PDF BibTeX XML Cite \textit{Y. Tian} et al., Methodol. Comput. Appl. Probab. 24, No. 2, 1169--1191 (2022; Zbl 1490.91177) Full Text: DOI
Amini, Hamed; Minca, Andreea; Sulem, Agnès A dynamic contagion risk model with recovery features. (English) Zbl 1489.91297 Math. Oper. Res. 47, No. 2, 1412-1442 (2022). MSC: 91G45 60J10 90B10 90B15 PDF BibTeX XML Cite \textit{H. Amini} et al., Math. Oper. Res. 47, No. 2, 1412--1442 (2022; Zbl 1489.91297) Full Text: DOI Link
Jin, Zhuo; Zuo, Quan Xu; Zou, Bin A perturbation approach to optimal investment, liability ratio, and dividend strategies. (English) Zbl 1492.91301 Scand. Actuar. J. 2022, No. 2, 165-188 (2022). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Z. Jin} et al., Scand. Actuar. J. 2022, No. 2, 165--188 (2022; Zbl 1492.91301) Full Text: DOI arXiv
Glauner, Alexander Dynamic reinsurance in discrete time minimizing the insurer’s cost of capital. (English) Zbl 1494.91123 Scand. Actuar. J. 2022, No. 4, 279-306 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 90C40 PDF BibTeX XML Cite \textit{A. Glauner}, Scand. Actuar. J. 2022, No. 4, 279--306 (2022; Zbl 1494.91123) Full Text: DOI arXiv
Yang, Lu; Zhang, Chengke; Zhu, Huainian Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay. (English) Zbl 1492.91317 Methodol. Comput. Appl. Probab. 24, No. 1, 361-384 (2022). MSC: 91G05 91A15 91A65 91A80 34K50 PDF BibTeX XML Cite \textit{L. Yang} et al., Methodol. Comput. Appl. Probab. 24, No. 1, 361--384 (2022; Zbl 1492.91317) Full Text: DOI
Qiu, Ming; Jin, Zhuo; Li, Shuanming Optimal dividend strategies with reinsurance under contagious systemic risk. (English) Zbl 1492.91310 SIAM J. Control Optim. 60, No. 3, 1269-1293 (2022). MSC: 91G05 91G45 93E20 49L12 PDF BibTeX XML Cite \textit{M. Qiu} et al., SIAM J. Control Optim. 60, No. 3, 1269--1293 (2022; Zbl 1492.91310) Full Text: DOI
Tian, Linlin; Bai, Lihua Minimizing ruin probability under the sparre Anderson model. (English) Zbl 07533625 Commun. Stat., Theory Methods 51, No. 6, 1622-1636 (2022). MSC: 49L25 93E20 62-XX PDF BibTeX XML Cite \textit{L. Tian} and \textit{L. Bai}, Commun. Stat., Theory Methods 51, No. 6, 1622--1636 (2022; Zbl 07533625) Full Text: DOI arXiv
Mert, Özenç Murat; Selcuk-Kestel, A. Sevtap Optimal premium allocation under stop-loss insurance using exposure curves. (English) Zbl 1513.91063 Hacet. J. Math. Stat. 51, No. 1, 288-307 (2022). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{Ö. M. Mert} and \textit{A. S. Selcuk-Kestel}, Hacet. J. Math. Stat. 51, No. 1, 288--307 (2022; Zbl 1513.91063) Full Text: DOI
Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea Dam rain and cumulative gain. (English) Zbl 1489.91293 Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 65-86 (2022). MSC: 91G40 91G20 91G05 PDF BibTeX XML Cite \textit{D. C. Brody} et al., in: Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 65--86 (2022; Zbl 1489.91293) Full Text: DOI arXiv
Li, Na; Wang, Wei Optimal dividend and proportional reinsurance strategy under standard deviation premium principle. (English) Zbl 1484.91394 Bull. Malays. Math. Sci. Soc. (2) 45, No. 2, 869-888 (2022). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 91G05 PDF BibTeX XML Cite \textit{N. Li} and \textit{W. Wang}, Bull. Malays. Math. Sci. Soc. (2) 45, No. 2, 869--888 (2022; Zbl 1484.91394) Full Text: DOI
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel; Heras, Antonio Risk transference constraints in optimal reinsurance. (English) Zbl 1484.91370 Insur. Math. Econ. 103, 27-40 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{A. Balbás} et al., Insur. Math. Econ. 103, 27--40 (2022; Zbl 1484.91370) Full Text: DOI
Li, Danping; Young, Virginia R. Stackelberg differential game for reinsurance: mean-variance framework and random horizon. (English) Zbl 1484.91392 Insur. Math. Econ. 102, 42-55 (2022). MSC: 91G05 91A65 91A80 PDF BibTeX XML Cite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 102, 42--55 (2022; Zbl 1484.91392) Full Text: DOI
Li, Sheng Robust equilibrium investment and reinsurance strategy with bounded memory and common shock dependence. (English) Zbl 1482.91185 RAIRO, Oper. Res. 56, No. 1, 77-99 (2022). MSC: 91G05 62P05 93E20 PDF BibTeX XML Cite \textit{S. Li}, RAIRO, Oper. Res. 56, No. 1, 77--99 (2022; Zbl 1482.91185) Full Text: DOI