This paper studies the optimal dynamic reinsurance policy for an insurance company whose
surplus is modeled by the diffusion approximation of the classical Cramér–Lundberg model …

We compute the optimal investment and reinsurance strategy for an insurance company that
wishes to minimize its probability of ruin, when the risk process follows a compound Poisson …

This paper analyzes the optimal investment and reinsurance strategies for insurers with a
generalized mean–variance premium principle. The surplus process of the insurer is …

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 …

In this paper, we consider the optimal per-claim reinsurance problem for an insurer who
designs a reinsurance contract with multiple reinsurance participants. In contrast to using the …

In this paper, a class of reinsurance contracting problems is examined under a continuous-
time principal–agent framework with mean-variance criteria, where a reinsurer and an …

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 financing and dividend control problem of an insurance company
facing fixed and proportional transaction costs. The goal of the company is to maximize the …

This paper deals with the optimal reinsurance strategy from an insurer's point of view. Our
objective is to find the optimal policy that maximises the insurer's survival probability. To …

An optimal insurance risk control problem is discussed in a general situation where several
reinsurance companies enter into a reinsurance treaty with an insurance company. These …