Minimization of absolute ruin probability under negative correlation assumption
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Cites work
- Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- Martingales and insurance risk
- Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment
- On absolute ruin minimization under a diffusion approximation model
- On the time value of absolute ruin with debit interest
- Optimal dynamic reinsurance policies for large insurance portfolios
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Stochastic optimal control and the U.S. financial debt crisis
Cited in
(9)- Optimal reinsurance-investment problem with dependent risks based on Legendre transform
- Minimizing the probability of absolute ruin under ambiguity aversion
- Minimizing the probability of absolute ruin under the mean‐variance premium principle
- A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
- Optimal investment and reinsurance for an insurer with constraints and ambiguous correlation
- Expected power utility maximization of insurers
- Time-consistent per-loss reinsurance and investment strategies in correlated markets with smooth ambiguity
- Deep learning solution of optimal reinsurance-investment strategies with inside information and multiple risks
- Alpha-maxmin mean-variance reinsurance-investment strategy under negative risk dependence between two markets
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