Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure (Q4562052): Difference between revisions

Latest revision as of 01:32, 15 August 2024

scientific article; zbMATH DE number 6993725

Language	Label	Description	Also known as
English	Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure	scientific article; zbMATH DE number 6993725

Statements

instance of

scholarly article

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title

Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure (English)

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Scandinavian Actuarial Journal

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publication date

14 December 2018

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zbMATH Keywords

proportional reinsurance

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stochastic optimal control

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probability of drawdown

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thinning-dependence structure

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2018.1469098

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cites work

Optimal investment to minimize the probability of drawdown

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Minimizing the probability of lifetime drawdown under constant consumption

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Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

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Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

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A note on applications of stochastic ordering to control problems in insurance and finance

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Minimizing the Probability of Ruin When Consumption is Ratcheted

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Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

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Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time

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On minimizing drawdown risks of lifetime investments

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Q4868512

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Optimal lifetime consumption and investment under a drawdown constraint

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Aspects of risk theory

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OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS

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Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence

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Optimal dynamic reinsurance with dependent risks: variance premium principle

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Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence

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Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement

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Continuous-Time Red and Black: How to Control a Diffusion to a Goal

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Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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Optimal commutable annuities to minimize the probability of lifetime ruin

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A discrete-time risk model with interaction between classes of business.

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Maximizing survival, growth and goal reaching under borrowing constraints

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Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin

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Optimal proportional reinsurance with common shock dependence

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Identifiers

zbMATH Open document ID

1418.91240

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DOI

10.1080/03461238.2018.1469098

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4562052

@@ Property / author @@
-Kam-Chuen Yuen
@@ Property / author: Kam-Chuen Yuen / rank @@
-Normal rank
@@ Property / author @@
+Kam-Chuen Yuen
@@ Property / author: Kam-Chuen Yuen / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/03461238.2018.1469098
+Normal rank
@@ Property / OpenAlex ID @@
+W2893359606
@@ Property / OpenAlex ID: W2893359606 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment to minimize the probability of drawdown
+Normal rank
@@ Property / cites work @@
+Minimizing the probability of lifetime drawdown under constant consumption
+Normal rank
@@ Property / cites work @@
+Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
+Normal rank
@@ Property / cites work @@
+A note on applications of stochastic ordering to control problems in insurance and finance
+Normal rank
@@ Property / cites work @@
+Minimizing the Probability of Ruin When Consumption is Ratcheted
+Normal rank
@@ Property / cites work @@
+Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
+Normal rank
@@ Property / cites work @@
+Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
+Normal rank
@@ Property / cites work @@
+On minimizing drawdown risks of lifetime investments
+Normal rank
@@ Property / cites work @@
+Q4868512
@@ Property / cites work: Q4868512 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal lifetime consumption and investment under a drawdown constraint
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
+Normal rank
@@ Property / cites work @@
+Optimal dynamic reinsurance with dependent risks: variance premium principle
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
+Normal rank
@@ Property / cites work @@
+Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement
+Normal rank
@@ Property / cites work @@
+Continuous-Time Red and Black: How to Control a Diffusion to a Goal
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Optimal commutable annuities to minimize the probability of lifetime ruin
+Normal rank
@@ Property / cites work @@
+On a correlated aggregate claims model with thinning-dependence structure
+Normal rank
@@ Property / cites work @@
+A discrete-time risk model with interaction between classes of business.
+Normal rank
@@ Property / cites work @@
+Maximizing survival, growth and goal reaching under borrowing constraints
+Normal rank
@@ Property / cites work @@
+Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance with common shock dependence
+Normal rank
@@ Property / Wikidata QID @@
+Q129014886
@@ Property / Wikidata QID: Q129014886 / rank @@
+Normal rank