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Communications in Statistics - Theory and Methods Volume 51, 2022 - Issue 21
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Articles

Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer

Danping Lia Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, Faculty of Economics and Management, East China Normal University, Shanghai, ChinaORCID Iconhttps://orcid.org/0000-0003-3882-0971View further author information
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Ximin Rongb School of Mathematics, Tianjin University, Tianjin, PR ChinaView further author information
,
Yajie Wangc China Export and Credit Insurance Corporation, Beijing, ChinaCorrespondence[email protected]
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&
Hui Zhaob School of Mathematics, Tianjin University, Tianjin, PR ChinaView further author information
Pages 7496-7527 | Received 23 May 2020, Accepted 31 Dec 2020, Published online: 18 Feb 2021

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Read on this site (2)

Wanlu Zhang & Hui Meng. (2024) Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle. Communications in Statistics - Theory and Methods 53:1, pages 113-143.
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Duni Hu & Hailong Wang. (2023) Reinsurance contract design with heterogeneous beliefs and learning. Communications in Statistics - Theory and Methods 52:14, pages 5026-5047.
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Articles from other publishers (3)

Yumo Zhang. (2024) Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility. Methodology and Computing in Applied Probability 26:1.
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Yiming Su, Haiyan Liu & Mi Chen. (2023) Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion. Electronic Research Archive 31:10, pages 6384-6411.
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Xia Zhao, Mengjie Li & Qinrui Si. (2022) Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer. Electronic Research Archive 30:12, pages 4619-4634.
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