Matches in SemOpenAlex for { <https://semopenalex.org/work/W2922205020> ?p ?o ?g. }
Showing items 1 to 91 of
91
with 100 items per page.
- W2922205020 endingPage "231" @default.
- W2922205020 startingPage "216" @default.
- W2922205020 abstract "This paper studies the optimal risk-sharing between an insurer and a reinsurer. The insurer purchases reinsurance for risk-control and decides her retention level with an objective to minimize her ruin probability. The reinsurer has control over the reinsurance price and aims to maximize her expected discounted profits up to the time when the insurer goes bankrupt. In a stochastic differential game-theoretic framework, we determine the insurer’s optimal reinsurance strategy and specify the reinsurance contract by solving a system of coupled Hamilton–Jacobi–Bellman equations. We obtain explicit solutions for the game problem when both the insurance and the reinsurance premiums are calculated according to the standard-deviation principle or the expected value principle, respectively. Our results show that, depending on the model parameters, the reinsurance contract is either provided with a peak price when the insurer has sufficient cash reserve and with a minimum price when otherwise, or is always provided with a peak price. We also perform some numerical analyses and provide economic interpretations for the results." @default.
- W2922205020 created "2019-03-22" @default.
- W2922205020 creator A5004073903 @default.
- W2922205020 creator A5056203586 @default.
- W2922205020 creator A5061240633 @default.
- W2922205020 date "2019-05-01" @default.
- W2922205020 modified "2023-10-18" @default.
- W2922205020 title "Dynamic risk-sharing game and reinsurance contract design" @default.
- W2922205020 cites W1968457222 @default.
- W2922205020 cites W1974932729 @default.
- W2922205020 cites W1977954009 @default.
- W2922205020 cites W2011390982 @default.
- W2922205020 cites W2029072689 @default.
- W2922205020 cites W2030862733 @default.
- W2922205020 cites W2056534185 @default.
- W2922205020 cites W2061484680 @default.
- W2922205020 cites W2068039820 @default.
- W2922205020 cites W2068441370 @default.
- W2922205020 cites W2068513563 @default.
- W2922205020 cites W2117773926 @default.
- W2922205020 cites W2147830882 @default.
- W2922205020 cites W2171757380 @default.
- W2922205020 cites W2299522835 @default.
- W2922205020 cites W2400521579 @default.
- W2922205020 cites W2462425032 @default.
- W2922205020 cites W2564456188 @default.
- W2922205020 cites W2770616686 @default.
- W2922205020 cites W2787188012 @default.
- W2922205020 cites W3122431206 @default.
- W2922205020 cites W3122956191 @default.
- W2922205020 cites W3124086616 @default.
- W2922205020 cites W3125989361 @default.
- W2922205020 cites W4236681964 @default.
- W2922205020 doi "https://doi.org/10.1016/j.insmatheco.2019.03.004" @default.
- W2922205020 hasPublicationYear "2019" @default.
- W2922205020 type Work @default.
- W2922205020 sameAs 2922205020 @default.
- W2922205020 citedByCount "7" @default.
- W2922205020 countsByYear W29222050202019 @default.
- W2922205020 countsByYear W29222050202020 @default.
- W2922205020 countsByYear W29222050202021 @default.
- W2922205020 countsByYear W29222050202022 @default.
- W2922205020 countsByYear W29222050202023 @default.
- W2922205020 crossrefType "journal-article" @default.
- W2922205020 hasAuthorship W2922205020A5004073903 @default.
- W2922205020 hasAuthorship W2922205020A5056203586 @default.
- W2922205020 hasAuthorship W2922205020A5061240633 @default.
- W2922205020 hasConcept C10138342 @default.
- W2922205020 hasConcept C126255220 @default.
- W2922205020 hasConcept C144237770 @default.
- W2922205020 hasConcept C162118730 @default.
- W2922205020 hasConcept C162324750 @default.
- W2922205020 hasConcept C166970017 @default.
- W2922205020 hasConcept C170131372 @default.
- W2922205020 hasConcept C2778083465 @default.
- W2922205020 hasConcept C2779006483 @default.
- W2922205020 hasConcept C33923547 @default.
- W2922205020 hasConcept C91575142 @default.
- W2922205020 hasConceptScore W2922205020C10138342 @default.
- W2922205020 hasConceptScore W2922205020C126255220 @default.
- W2922205020 hasConceptScore W2922205020C144237770 @default.
- W2922205020 hasConceptScore W2922205020C162118730 @default.
- W2922205020 hasConceptScore W2922205020C162324750 @default.
- W2922205020 hasConceptScore W2922205020C166970017 @default.
- W2922205020 hasConceptScore W2922205020C170131372 @default.
- W2922205020 hasConceptScore W2922205020C2778083465 @default.
- W2922205020 hasConceptScore W2922205020C2779006483 @default.
- W2922205020 hasConceptScore W2922205020C33923547 @default.
- W2922205020 hasConceptScore W2922205020C91575142 @default.
- W2922205020 hasFunder F4320321001 @default.
- W2922205020 hasFunder F4320327557 @default.
- W2922205020 hasLocation W29222050201 @default.
- W2922205020 hasOpenAccess W2922205020 @default.
- W2922205020 hasPrimaryLocation W29222050201 @default.
- W2922205020 hasRelatedWork W2080617562 @default.
- W2922205020 hasRelatedWork W2082046266 @default.
- W2922205020 hasRelatedWork W2297600365 @default.
- W2922205020 hasRelatedWork W2761523429 @default.
- W2922205020 hasRelatedWork W2793149742 @default.
- W2922205020 hasRelatedWork W2981881110 @default.
- W2922205020 hasRelatedWork W3039896143 @default.
- W2922205020 hasRelatedWork W3121984438 @default.
- W2922205020 hasRelatedWork W3148441348 @default.
- W2922205020 hasRelatedWork W4297826511 @default.
- W2922205020 hasVolume "86" @default.
- W2922205020 isParatext "false" @default.
- W2922205020 isRetracted "false" @default.
- W2922205020 magId "2922205020" @default.
- W2922205020 workType "article" @default.