Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/309515 
Year of Publication: 
2022
Citation: 
[Journal:] European Actuarial Journal [ISSN:] 2190-9741 [Volume:] 12 [Issue:] 2 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2022 [Pages:] 879-885
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
We consider the optimization problem of a large insurance company that wants to maximize the expected utility of its surplus through the optimal control of the proportional reinsurance. In addition, the insurer is exposed to the risk of default of its reinsurer at the worst possible time, a setting that is closely related to a scenario of the Swiss Solvency Test.
Subjects: 
Dynamic proportional reinsurance
Reinsurer default
Stress scenario
Swiss Solvency Test
Worst-case scenario approach
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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