Optimal per-loss reinsurance and investment to minimize the probability of drawdown
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Publication:2171077
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Cites work
- Continuous-Time Red and Black: How to Control a Diffusion to a Goal
- Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model
- scientific article; zbMATH DE number 852301 (Why is no real title available?)
- Minimizing the discounted probability of exponential Parisian ruin via reinsurance
- Minimizing the probability of lifetime drawdown under constant consumption
- Minimizing the probability of ruin: optimal per-loss reinsurance
- On absolute ruin minimization under a diffusion approximation model
- On minimizing drawdown risks of lifetime investments
- On minimizing the ruin probability by investment and reinsurance
- Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
- Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Optimal investment to minimize the probability of drawdown
- Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal non-proportional reinsurance control
- Optimal proportional reinsurance and investment for stochastic factor models
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
Cited in
(15)- Minimisation of penalty payments by investments and reinsurance
- Optimal investment and proportional reinsurance strategies to minimize the probability of drawdown under ambiguity aversion
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal reinsurance and investment in danger-zone and safe-region
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown
- Non-zero-sum stochastic differential games on investment, consumption and proportional reinsurance
- Optimal reinsurance and investment problems to minimize the probability of drawdown
- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Optimal risk management strategies in a dynamic setting under the force of interest
- Equilibrium per-loss reinsurance strategy with delay factors and ambiguity aversion under the cooperation framework
- Minimizing the penalized goal-reaching probability with multiple dependent risks
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