On absolute ruin minimization under a diffusion approximation model
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Publication:2276211
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Cites work
- scientific article; zbMATH DE number 3889341 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
- Diffusion approximations for a risk process with the possibility of borrowing and investment
- Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
- Martingales and insurance risk
- On reinsurance and investment for large insurance portfolios
- On the time value of absolute ruin with debit interest
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal dynamic reinsurance policies for large insurance portfolios
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Stochastic differential equations for compounded risk reserves
Cited in
(21)- The absolute ruin insurance risk model with a threshold dividend strategy
- Optimal dividends under Markov-modulated bankruptcy level
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Stochastic Pareto-optimal reinsurance policies
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Minimizing the probability of absolute ruin under ambiguity aversion
- Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return
- Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment
- Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Minimizing the probability of absolute ruin under the mean‐variance premium principle
- Optimal dynamic risk control for insurers with state-dependent income
- Minimization of absolute ruin probability under negative correlation assumption
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal reinsurance arrangement under heterogeneous beliefs: a unified method with piecewise modification
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Minimization of absolute ruin probability in a class of diffusion model
- Stochastic Brownian Game of Absolute Dominance
- Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
- Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
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