Korn, RalfRalfKornMüller, L.L.Müller2022-09-212022-09-212022https://publica.fraunhofer.de/handle/publica/42595410.1007/s13385-022-00311-72-s2.0-85127723457We 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.enDynamic proportional reinsuranceReinsurer defaultStress scenarioSwiss Solvency TestWorst-case scenario approachjournal article