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Quality Technology & Quantitative Management Volume 1, 2004 - Issue 1
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Original Articles

On Optimal Strategies to Deal with Extreme Regimes in Insurance

J. AquilinaUniversity of Cambridge,View further author information
,
M. KelbertEuropean Business Management School, University of Wales-Swansea, Singleton Park, Swansea, UKView further author information
&
Y.M. SuhovUniversity of Cambridge,View further author information
Pages 163-174 | Received 01 Oct 2002, Accepted 01 May 2003, Published online: 09 Feb 2016

References

  • Asmussen, S., Hojgaard, B. and Taksar, M. (2000). Optimal risk control and dividend distribution polices. Example of excess-of loss reinsurance for an insurance corporation. Finance & Stochastics, 4(3), 299–324.
  • Hipp, C. and Taksar, M. (2000). Stochastic control for optimal new business. Insurance: Mathematics & Economics, 26, 185–192.
  • Hojgaard, B. (2001). Optimal Dynamic Premium Control in Non-Life Insurance. Maximizing Dividend Pay-Outs. Technical report, Aalborg University.
  • Schwartz, A. and Weiss, A. (1995). Large Deviations for Performance Analysis. Chapman and Hall.
  • Vvedenskaya, N. D., Pecherskii, E. A. and Suhov, Y. M. (2000). Large deviations in some queueing systems. Problems of Information Transmission, 36(1), 48–59.

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