Optimal per-loss reinsurance and investment to minimize the probability of drawdown
From MaRDI portal
Publication:2171077
DOI10.3934/jimo.2021145MaRDI QIDQ2171077
Zhibin Liang, Xia Han, Caibin Zhang, Y. Yuan
Publication date: 23 September 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.12158
stochastic optimal control; investment; probability of drawdown; common shock dependence; per-loss reinsurance
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