Assume that an insurer has two dependent lines of business. The reserves of the two lines of
business are modeled by a two-dimensional compound Poisson risk process or a common …

In this paper, we determine the optimal reinsurance strategy to minimize the probability of
drawdown, namely, the probability that the insurer's surplus process reaches some fixed …

This paper investigates a non-zero-sum stochastic differential game between two mean–
variance insurers. These two insurers are concerned about their terminal wealth and the …

In this study, we investigate the competition among insurers under the mean–variance
criterion. The optimization problems are formulated for finite and infinite insurers. The …

This work investigates the equilibrium investment and reinsurance strategies for a general
insurance company under smooth ambiguity. The general insurance company holds shares …

We consider the problem of minimizing the probability of ruin by purchasing reinsurance
whose premium is computed according to the mean–variance premium principle, a …

In this paper, we study an insurer's reinsurance–investment problem under a mean–
variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy …

We investigate an optimal reinsurance and dividend problem of an insurance company with
the presence of reinvestments, or retained earnings. We consider the general situation that …

Abstract Accepted by: Giorgio Consigli In this article, we consider a reinsurance contract
design by taking into account the joint interests of multiple insurers and a reinsurer. The …

In this paper, the surplus process of the insurance company is described by a Brownian
motion with drift. In addition, the insurer is allowed to invest in a risk-free asset and n risky …