Optimal dynamic reinsurance with worst-case default of the reinsurer
- We consider the optimization problem of a large insurance company that wants to maximize the expected utility of its surplus through the optimal control of the proportional reinsurance. In addition, the insurer is exposed to the risk of default of its reinsurer at the worst possible time, a setting that is closely related to a scenario of the Swiss Solvency Test.
| Author: | Ralf KornORCiD, Lukas MüllerORCiD |
|---|---|
| URN: | urn:nbn:de:hbz:386-kluedo-78934 |
| DOI: | https://doi.org/10.1007/s13385-022-00311-7 |
| ISSN: | 2190-9741 |
| Parent Title (English): | European Actuarial Journal |
| Publisher: | Springer Nature - Springer |
| Document Type: | Article |
| Language of publication: | English |
| Date of Publication (online): | 2024/03/26 |
| Year of first Publication: | 2022 |
| Publishing Institution: | Rheinland-Pfälzische Technische Universität Kaiserslautern-Landau |
| Date of the Publication (Server): | 2024/03/26 |
| Issue: | 12 |
| Page Number: | 7 |
| First Page: | 879 |
| Last Page: | 885 |
| Source: | https://link.springer.com/article/10.1007/s13385-022-00311-7 |
| Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
| DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
| Collections: | Open-Access-Publikationsfonds |
| Licence (German): | Zweitveröffentlichung |