Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
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Cites work
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- Optimal layer reinsurance on the maximization of the adjustment coefficient
- Optimal non-proportional reinsurance control
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Portfolio Selection with Transaction Costs
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Singular optimal strategies for investment with transaction costs
Cited in
(17)- Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
- Minimizing the probability of lifetime exponential Parisian ruin
- Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
- Minimal cost of a Brownian risk without ruin
- Upper bound for ruin probabilities under optimal investment and proportional reinsurance
- Optimal proportional reinsurance and investment with minimum probability of ruin
- Optimal investment under transaction costs for an insurer
- Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- 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
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Optimal periodic dividends with penalty payments under a diffusion model
- Optimal risk management strategies in a dynamic setting under the force of interest
- Optimal reinsurance strategy based on the Lundberg exponent
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
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