Related papers: Optimal Reinsurance: A Ruin-Related Uncertain Prog…
This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The risk preferences are characterized by a family of risk…
This paper considers structural optimization under a reliability constraint, where the input distribution is only partially known. Specifically, when we only know that the expected value vector and the variance-covariance matrix of the…
We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion.…
We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also…
The literature on optimal reinsurance does not deal with how much the effectiveness of such solutions is degraded by errors in parameters and models. The issue is investigated through both asymptotics and numerical studies. It is shown that…
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by…
This project works with the risk model developed by Li et al. (2015) and quests modelling, estimating and pricing insurance for risks brought in by innovative technologies, or other emerging or latent risks. The model considers two…
In the literature, insurance and reinsurance pricing is typically determined by a premium principle, characterized by a risk measure that reflects the policy seller's risk attitude. Building on the work of Meyers (1980) and Chen et al.…
Robust optimization is a method for optimization under uncertainties in engineering systems and designs for applications ranging from aeronautics to nuclear. In a robust design process, parameter variability (or uncertainty) is incorporated…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…
In this paper, we generalise the results presented in the literature for the ruin probability for the insurer--reinsurer model under a pro-rata reinsurance contract. We consider claim amounts that are described by a phase-type distribution…
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…
We study the optimal investment-reinsurance problem in the context of equity-linked insurance products. Such products often have a capital guarantee, which can motivate insurers to purchase reinsurance. Since a reinsurance contract implies…
Managing insurance and financial risk when data is limited is a key task in the insurance industry. In this paper, we focus on cases where the risk distribution is modeled as a mixture with some components estimable to high precision or…
An insurance company, as a risk bearer, is exposed to the likelihood of running into ruin. This is the situation where the initial surplus falls below zero. There is the need to find the required start-up capital to hedge against…
We analyze the potential of reinsurance for reversing the current trend of decreasing capital guarantees in life insurance products. Providing an insurer with an opportunity to shift part of the financial risk to a reinsurer, we solve the…
The study deals with the ruin problem when an insurance company invests its reserve in a risky asset whose the price dynamics is given by a geometric L\'evy process. Considering the ruin probability as a of the capital reserve we obtain for…
This paper studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk process. The dependence of the components of the process is…
In this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal. Following the literature, we adopt dependence uncertainty to…