FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2090697813> ?p ?o ?g. }

• W2090697813 endingPage "435" @default.
• W2090697813 startingPage "417" @default.
• W2090697813 abstract "In this paper we investigate optimal forms of dynamic reinsurance polices among a class of general reinsurance strategies. The original surplus process of an insurance portfolio is assumed to follow a Markov jump process with state-dependent income. We assume that the insurer uses a dynamic reinsurance policy to minimize the probability of absolute ruin, where the traditional ruin can be viewed as a special case of absolute ruin. In terms of approximation theory of stochastic process, the controlled diffusion model with a general reinsurance policy is established strictly. In such a risk model, absolute ruin is said to occur when the drift coefficient of the surplus process turns negative, when the insurer has no profitability any more. Under the expected value premium principle, we rigorously prove that a dynamic excess-of-loss reinsurance is the optimal form of reinsurance among a class of general reinsurance strategies in a dynamic control framework. Moreover, by solving the Hamilton-Jacobi-Bellman equation, we derive both the explicit expression of the optimal dynamic excess-of-loss reinsurance strategy and the closed-form solution to the absolute ruin probability under the optimal reinsurance strategy. We also illustrate these explicit solutions using numerical examples." @default.
• W2090697813 created "2016-06-24" @default.
• W2090697813 creator A5047248078 @default.
• W2090697813 creator A5084599546 @default.
• W2090697813 date "2014-06-01" @default.
• W2090697813 modified "2023-10-18" @default.
• W2090697813 title "Optimal Dynamic Risk Control for Insurers with State-Dependent Income" @default.
• W2090697813 cites W1582939942 @default.
• W2090697813 cites W1969562897 @default.
• W2090697813 cites W1969952045 @default.
• W2090697813 cites W1970006655 @default.
• W2090697813 cites W1982920830 @default.
• W2090697813 cites W1999932850 @default.
• W2090697813 cites W2002646713 @default.
• W2090697813 cites W2027339631 @default.
• W2090697813 cites W2046475498 @default.
• W2090697813 cites W2056063163 @default.
• W2090697813 cites W2063336570 @default.
• W2090697813 cites W2082046266 @default.
• W2090697813 cites W2093146176 @default.
• W2090697813 cites W2137541411 @default.
• W2090697813 cites W2139934558 @default.
• W2090697813 cites W2171757380 @default.
• W2090697813 cites W2318332616 @default.
• W2090697813 cites W4232729308 @default.
• W2090697813 doi "https://doi.org/10.1239/jap/1402578634" @default.
• W2090697813 hasPublicationYear "2014" @default.
• W2090697813 type Work @default.
• W2090697813 sameAs 2090697813 @default.
• W2090697813 citedByCount "18" @default.
• W2090697813 countsByYear W20906978132015 @default.
• W2090697813 countsByYear W20906978132016 @default.
• W2090697813 countsByYear W20906978132017 @default.
• W2090697813 countsByYear W20906978132018 @default.
• W2090697813 countsByYear W20906978132019 @default.
• W2090697813 countsByYear W20906978132020 @default.
• W2090697813 countsByYear W20906978132021 @default.
• W2090697813 countsByYear W20906978132022 @default.
• W2090697813 countsByYear W20906978132023 @default.
• W2090697813 crossrefType "journal-article" @default.
• W2090697813 hasAuthorship W2090697813A5047248078 @default.
• W2090697813 hasAuthorship W2090697813A5084599546 @default.
• W2090697813 hasBestOaLocation W20906978131 @default.
• W2090697813 hasConcept C10138342 @default.
• W2090697813 hasConcept C105795698 @default.
• W2090697813 hasConcept C121332964 @default.
• W2090697813 hasConcept C126255220 @default.
• W2090697813 hasConcept C144237770 @default.
• W2090697813 hasConcept C14646407 @default.
• W2090697813 hasConcept C159886148 @default.
• W2090697813 hasConcept C162118730 @default.
• W2090697813 hasConcept C162324750 @default.
• W2090697813 hasConcept C166970017 @default.
• W2090697813 hasConcept C170131372 @default.
• W2090697813 hasConcept C196978813 @default.
• W2090697813 hasConcept C2776825372 @default.
• W2090697813 hasConcept C2779664328 @default.
• W2090697813 hasConcept C2780695682 @default.
• W2090697813 hasConcept C2780821815 @default.
• W2090697813 hasConcept C33923547 @default.
• W2090697813 hasConcept C62520636 @default.
• W2090697813 hasConcept C91575142 @default.
• W2090697813 hasConceptScore W2090697813C10138342 @default.
• W2090697813 hasConceptScore W2090697813C105795698 @default.
• W2090697813 hasConceptScore W2090697813C121332964 @default.
• W2090697813 hasConceptScore W2090697813C126255220 @default.
• W2090697813 hasConceptScore W2090697813C144237770 @default.
• W2090697813 hasConceptScore W2090697813C14646407 @default.
• W2090697813 hasConceptScore W2090697813C159886148 @default.
• W2090697813 hasConceptScore W2090697813C162118730 @default.
• W2090697813 hasConceptScore W2090697813C162324750 @default.
• W2090697813 hasConceptScore W2090697813C166970017 @default.
• W2090697813 hasConceptScore W2090697813C170131372 @default.
• W2090697813 hasConceptScore W2090697813C196978813 @default.
• W2090697813 hasConceptScore W2090697813C2776825372 @default.
• W2090697813 hasConceptScore W2090697813C2779664328 @default.
• W2090697813 hasConceptScore W2090697813C2780695682 @default.
• W2090697813 hasConceptScore W2090697813C2780821815 @default.
• W2090697813 hasConceptScore W2090697813C33923547 @default.
• W2090697813 hasConceptScore W2090697813C62520636 @default.
• W2090697813 hasConceptScore W2090697813C91575142 @default.
• W2090697813 hasIssue "2" @default.
• W2090697813 hasLocation W20906978131 @default.
• W2090697813 hasOpenAccess W2090697813 @default.
• W2090697813 hasPrimaryLocation W20906978131 @default.
• W2090697813 hasRelatedWork W2008784413 @default.
• W2090697813 hasRelatedWork W2023017827 @default.
• W2090697813 hasRelatedWork W2106461302 @default.
• W2090697813 hasRelatedWork W2122549451 @default.
• W2090697813 hasRelatedWork W2161078437 @default.
• W2090697813 hasRelatedWork W2337717143 @default.
• W2090697813 hasRelatedWork W2359027422 @default.
• W2090697813 hasRelatedWork W2575753183 @default.
• W2090697813 hasRelatedWork W3012376479 @default.
• W2090697813 hasRelatedWork W3121701644 @default.
• W2090697813 hasVolume "51" @default.
• W2090697813 isParatext "false" @default.
• W2090697813 isRetracted "false" @default.

• next