Optimal Dynamic XL Reinsurance

ASTIN Bulletin

Volumn 33, Issue 2, 2003, Pages 193-207

  Hipp, Christian ^a   Vogt, Michael ^a  

^a UNIVERSITY OF KARLSRUHE   (Germany)

Author keywords

Ruin probability; Stochastic control; XL reinsurance

Indexed keywords

EID: 85011444688     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.1017/S051503610001343X     Document Type: Article

References (7)

1. Grandell, J. (1991) Aspects of Risk Theory. Springer.
2. Hipp, C. and Taksar, M. (2000) Stochastic Control for Optimal New Business. Insurance: Mathematics and Economics. 26, 185–192.
3. Hipp, C. and Plum, M. (2000) Optimal Investment for Insurers. Insurance, Mathematics and Economics. 27, 215–228.
4. Rolski, T., Schmidli, H., Schmidt, V. and Teugels, J. (1998) Stochastic Processes for Insurance and Finance. Wiley Series in Probability and Statistics. 15.
5. Schäl, M. (1998) On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance. Insurance: Mathematics and Economics. 22, 75–91.
6. Schmidli, H. (2000) Optimal Proportional Reinsurance Policies in a Dynamic Setting. Research Report 403, Dept. Theor. Statis, Arhus University. 16.
7. Vogt, M. (2003) Optimale dynamische Ruckversicherung – ein Kontrolltheoretischer Ansatz. Dissertation, Universität Karlsruhe (TH).