Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
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Publication:1644203
DOI10.1016/j.spl.2018.05.005zbMath1410.91272OpenAlexW2804485950MaRDI QIDQ1644203
Virginia R. Young, Xiaoqing Liang
Publication date: 21 June 2018
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2018.05.005
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Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance, Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business, Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion, Minimizing the probability of lifetime exponential Parisian ruin, MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS, Robust optimal reinsurance-investment strategy with price jumps and correlated claims, Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
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