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

DOI10.1080/03461238.2018.1469098zbMath1418.91240WikidataQ129014886 ScholiaQ129014886MaRDI QIDQ4562052

Zhibin Liang, Xia Han, Kam-Chuen Yuen

Publication date: 14 December 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2018.1469098

zbMATH Keywords

stochastic optimal control; proportional reinsurance; probability of drawdown; thinning-dependence structure

Mathematics Subject Classification ID

93E20: Optimal stochastic control

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