REINSURANCE

作品数：31被引量：59H指数：5
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Equilibrium Reinsurance Strategy and Mean Residual Life Function
《Acta Mathematicae Applicatae Sinica》2024年第3期758-777,共20页Dan-ping LI Lv CHEN Lin-yi QIAN Wei WANG 
supported by the National Key R&D Program of China(2022YFA1007900);the National Natural Science Foundation of China(Nos.12271171,12171158,12071147,12001200);the Shanghai Philosophy Social Science Planning Office Project(Grant No.2022ZJB005);the Fundamental Research Funds for the Central Universities(2022QKT001);the State Key Program of National Natural Science Foundation of China(71931004);the Humanity and Social Science Foundation of Ningbo University(XPYB19002)。
In this paper,we analyze the relationship between the equilibrium reinsurance strategy and the tail of the distribution of the risk.Since Mean Residual Life(MRL)has a close relationship with the tail of the distributi...
关键词：mean residual life excess-of-loss reinsurance INSURER reinsurer stochastic control 
A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
《Probability, Uncertainty and Quantitative Risk》2023年第4期499-522,共24页Ge Wang Menglei Huang Qing Zhou Weixing Wu Weilin Xiao 
isupported by the National Natural Science Foundation of China(Grant Nos.11871010 and 11971040);the Fundamental Research Funds for the Central Universities(Grant No.2019XD-A11);The work of Weilin Xiao is supported by the Humanities and Social Sciences of Ministry of Education Planning Fund of China(Grant No.23YJA630102).
This study considers an optimal investment and reinsurance problem involving a defaultable security for an insurer in an ambiguous environment.In other words,the insurer is ambiguous about the insurance claim that is ...
关键词：Smooth ambiguity utility Heston local-stochastic volatility model Perturbation method Investment and reinsurance Defaultable bond 
Pareto-Optimal Reinsurance Based on TVaR Premium Principle and Vajda Condition
《Open Journal of Applied Sciences》2023年第10期1649-1680,共32页Fengzhu Chang Ying Fang 
Reinsurance is an effective risk management tool for insurers to stabilize their profitability. In a typical reinsurance treaty, an insurer cedes part of the loss to a reinsurer. As the insurer faces an increasing num...
关键词：Pareto-Optimal Reinsurance TVaR Risk Measure Vajda Condition TVaR Premium Principle 
THE OPTIMAL REINSURANCE-INVESTMENT PROBLEM CONSIDERING THE JOINT INTERESTS OF AN INSURER AND A REINSURER UNDER HARA UTILITY被引量：2
《Acta Mathematica Scientia》2023年第1期97-124,共28页张燕 赵培标 周华任 
supported by Natural Science Foundation of China(11871275;11371194)。
This paper focuses on an optimal reinsurance and investment problem for an insurance corporation which holds the shares of an insurer and a reinsurer.Assume that the insurer can purchase reinsurance from the reinsurer...
关键词：REINSURANCE INVESTMENT HARA utility Heston model Legendre transform 
Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
《Statistical Theory and Related Fields》2020年第2期214-227,共14页Liming Zhang Rongming Wang Jiaqin Wei 
supported by the 111 Project[grant number B14019];the National Natural Science Foundation of China[grant numbers 11571113,11601157,11601320].
This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting.The strategies are constrained in the non-negative cone an...
关键词：Markov chain mean-variance problem non-negative constraints BSDE REGIME-SWITCHING 
Optimal reinsurance designs based on risk measures:a review被引量：2
《Statistical Theory and Related Fields》2020年第1期1-13,共13页Jun Cai Yichun Chi 
the support from the Natural Sciences and Engineering Research Council of Canada(NSERC)(grant No.RGPIN-2016-03975);supported by grants from the National Natural Science Foundation of China(Grant No.11971505);111 Project of China(No.B17050).
Reinsurance is an effective way for an insurance company to control its risk.How to design an optimal reinsurance contract is not only a key topic in actuarial science,but also an interesting research question in math...
关键词：VALUE-AT-RISK conditional value-at-risk distortion risk measures layer reinsurance optimal reinsurance designs 
Time-consistent investment and reinsurance strategies for insurers under multi-period mean-variance formulation with generalized correlated returns
《Journal of Management Science and Engineering》2019年第2期142-157,共16页Zhongbao Zhou Tiantian Ren Helu Xiao Wenbin Liu 
the National Natural Science Foundation of China(Nos.71771082,71801091);Hunan Provincial Natural Science Foundation of China(No.2017JJ1012).
The existing literature on investment and reinsurance is limited to the study of continuous-time problems,while discrete-time problems are always ignored by re-searchers.In this study,we first discuss a multi-period i...
关键词：Investment and reinsurance Multi-period mean-variance criterion Time-consistent strategy Generalized correlated returns 
Optimal Investment-Reinsurance Strategies for Insurers with Mean-Reversion and Mispricing under Variance Premium Principle
《Applied Mathematics》2018年第7期806-820,共15页Yuzhen Wen 
This paper considers a robust optimal reinsurance-investment problem for an insurer with mispricing and model ambiguity. The surplus process is described by a classical Cramér-Lunderg model and the financial market c...
关键词：Proportional REINSURANCE Robust Control Optimal INVESTMENT Strategy UTILITY Function MISPRICING 
Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models被引量：11
《Science China Mathematics》2017年第2期317-344,共28页ZHAO Hui WENG ChengGuo SHEN Yang ZENG Yan 
supported by National Natural Science Foundation of China (Grant Nos. 11301376, 71201173 and 71571195);China Scholarship Council, the Natural Sciences and Engineering Research Council of Canada (NSERC);Society of Actuaries Centers of Actuarial Excellence Research Grant, Guangdong Natural Science Funds for Distinguished Young Scholar (Grant No. 2015A030306040);Natural Science Foundation of Guangdong Province of China (Grant No. 2014A030310195);for Ying Tung Eduction Foundation for Young Teachers in the Higher Education Institutions of China (Grant No. 151081)
The present paper studies time-consistent solutions to an investment-reinsurance problem under a mean-variance framework.The paper is distinguished from other literature by taking into account the interests of both an...
关键词：investment-reinsurance problem mean-variance analysis time-consistent strategy constant elas-ticity of variance model 
Optimal Time-consistent Investment and Reinsurance Strategy for Mean-variance Insurers Under the Inside Information被引量：4
《Acta Mathematicae Applicatae Sinica》2016年第4期1087-1100,共14页Jing CAO Xing-chun PENG Yi-jun HU 
Supported in part by the Natural Science Foundation of Hubei Province under Grant 2015CKB737;the National Natural Science Foundation of China under Grant No.11371284
In this paper, we consider the problem of the optimal time-consistent investment and proportional reinsurance strategy under the mean-variance criterion, in which the insurer has some inside information at her disposa...
关键词：REINSURANCE PORTFOLIO inside information TIME-CONSISTENCY mean-variance criterion 
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