Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle (Q5140640)
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scientific article; zbMATH DE number 7286461
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| English | Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle |
scientific article; zbMATH DE number 7286461 |
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Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle (English)
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16 December 2020
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stochastic optimal control
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probability of drawdown
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optimal reinsurance
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mean-variance premium principle
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0.9027893543243408
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0.8716689944267273
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0.8647862672805786
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0.8624849319458008
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0.8407699465751648
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