Optimal per-loss reinsurance and investment to minimize the probability of drawdown (Q2171077)
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scientific article; zbMATH DE number 7590606
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| English | Optimal per-loss reinsurance and investment to minimize the probability of drawdown |
scientific article; zbMATH DE number 7590606 |
Statements
Optimal per-loss reinsurance and investment to minimize the probability of drawdown (English)
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23 September 2022
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probability of drawdown
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common shock dependence
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per-loss reinsurance
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investment
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stochastic optimal control
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0.8735874891281128
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0.8647862672805786
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0.8330795764923096
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0.8327555656433105
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