Related papers: Optimal Reinsurance: A Ruin-Related Uncertain Prog…
This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…
We deal with a generalization of the classical risk model when an insurance company gets additional funds whenever a claim arrives and consider some practical approaches to the estimation of the ruin probability. In particular, we get an…
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended)…
In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance…
Robust optimization(RO) is an important tool for handling optimization problem with uncertainty. The main objective of RO is to solve optimization problems due to uncertainty associated with constraints satisfying all realizations of…
This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and…
This paper studies an optimal insurance contracting problem in which the preferences of the decision maker given by the sum of the expected loss and a convex, increasing function of a deviation measure. As for the deviation measure, our…
This work studies equilibrium problems under uncertainty where firms maximize their profits in a robust way when selling their output. Robust optimization plays an increasingly important role when best guaranteed objective values are to be…
When undertaking cyber security risk assessments, we must assign numeric values to metrics to compute the final expected loss that represents the risk that an organization is exposed to due to cyber threats. Even if risk assessment is…
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing a…
In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank account, a risky asset with stochastic…
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which can be interpreted as a risk measure on…
Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose…
The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.
Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem…
This paper considers the ruin problem with random premiums, whose densities have rational Laplace transforms, and investments in a risky asset whose price follows a geometric Brownian motion. The asymptotic behavior of the ruin probability…
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer…