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Optimal Reinsurance Maximising Dividends: An Infinite-Dimensional Optimisation Approach and Numerical Results

https://doi.org/10.2139/ssrn.4669559
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Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
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Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
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Risk Management Under a Prudential Policy
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Optimal dividend and dynamic reinsurance strategies with capital injections and proportional costs
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Coherent multiperiod risk adjusted values and Bellman’s principle
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The distortion principle for insurance pricing: properties, identification and robustness
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Properties of Distortion Risk Measures
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Insurance pricing and increased limits ratemaking by proportional hazards transforms
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UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE
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A marginal indemnity function approach to optimal reinsurance under the Vajda condition
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Time-inconsistency of VaR and time-consistent alternatives
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Optimal reinsurance under VaR and CTE risk measures
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Optimal investment and reinsurance of an insurer with model uncertainty
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Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
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Optimal reinsurance with premium constraint under distortion risk measures
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On optimal reinsurance policy with distortion risk measures and premiums
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Marginal Indemnification Function formulation for optimal reinsurance
inferredcites →https://doi.org/10.1016/s0167-6687(00)00066-4openalex-extracted
Optimal reinsurance under mean-variance premium principles
inferredcites →https://doi.org/10.1016/s0167-6687(96)00017-0openalex-extracted
Controlled diffusion models for optimal dividend pay-out
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Axiomatic characterization of insurance prices
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Insurer’s optimal reinsurance strategies
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DISTORTION RISKMETRICS ON GENERAL SPACES
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Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
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Optimal Proportional Reinsurance Policies in a Dynamic Setting
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Mean-Variance Optimal Reinsurance Arrangements
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Premiums and reserves, adjusted by distortions
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Optimal Dividends
inferredcites →https://doi.org/10.1080/14697680902968005openalex-extracted
Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
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Risk Measures and Comonotonicity: A Review
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Martingales and insurance risk
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Optimal risk control and dividend policies under excess of loss reinsurance
inferredcites →https://doi.org/10.1086/294442openalex-extracted
Dividend Policy, Growth, and the Valuation of Shares
inferredcites →https://doi.org/10.1093/rfs/14.2.371openalex-extracted
Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
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Coherent Measures of Risk
inferredcites →https://doi.org/10.1111/j.0960-1627.2005.00220.xopenalex-extracted
OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL
inferredcites →https://doi.org/10.1111/risa.12080openalex-extracted
Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures
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General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation
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A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
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Optimal investment policy and dividend payment strategy in an insurance company
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Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes
inferredcites →https://doi.org/10.1287/moor.1060.0204openalex-extracted
Conditional Risk Mappings
inferredcites →https://doi.org/10.1524/stnd.2006.24.1.45openalex-extracted
On distortion functionals
inferredcites →https://doi.org/10.1525/9780520318465openalex-extracted
Reactive Risk and Rational Action
inferredcites →https://doi.org/10.2139/ssrn.204390openalex-extracted
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.2448678openalex-extracted
On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums
inferredcites →https://doi.org/10.2139/ssrn.3811740openalex-extracted
inferredcites →https://doi.org/10.2143/ast.20.2.2005441openalex-extracted
Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation
inferredcites →https://doi.org/10.2143/ast.26.1.563234openalex-extracted
Premium Calculation by Transforming the Layer Premium Density
inferredcites →https://doi.org/10.2143/ast.33.2.503690openalex-extracted
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A Class of Distortion Operators for Pricing Financial and Insurance Risks
inferredcites →https://doi.org/10.1017/s051503610001343xopenalex-snapshot
Optimal Dynamic XL Reinsurance
inferredcites →https://doi.org/10.1017/s0515036100013878openalex-snapshot
Some Optimal Dividends Problems
inferredcites →https://doi.org/10.1017/s0515036100014574openalex-snapshot
Optimal Dynamic Reinsurance
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A note on the expected present value of dividends with a constant barrier in the discrete time model
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