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European Actuarial Journal
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28-10-2024 | Original Research Paper

Risk sensitive control and an optimal reinsurance model of a network of insurance companies

Author: Lingling Jian

Published in: European Actuarial Journal | Issue 1/2025

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Abstract

The article delves into the optimization of reinsurance for a network of insurance companies, emphasizing risk diversification and the impact of the number of participants. It introduces a risk-sensitive control model and a differential game to solve the problem, offering explicit solutions for the optimal control and value function. The study is particularly notable for its application of stochastic and deterministic control theories, providing a comprehensive approach to managing risk in insurance networks.
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Metadata
Title
Risk sensitive control and an optimal reinsurance model of a network of insurance companies
Author
Lingling Jian
Publication date
28-10-2024
Publisher
Springer Berlin Heidelberg
Published in
European Actuarial Journal / Issue 1/2025
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI
https://doi.org/10.1007/s13385-024-00404-5

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