Optimal proportional reinsurance and investment with minimizing ruin probability
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Publication:2860113
zbMATH Open1289.91102MaRDI QIDQ2860113FDOQ2860113
Authors: Xinli Zhang, Wenyu Sun 
Publication date: 19 November 2013
Published in: Journal of Nanjing Normal University. Natural Science Edition (Search for Journal in Brave)
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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- Optimal investment and proportional reinsurance in the Sparre Andersen model
- Ruin probabilities under an optimal investment and proportional reinsurance policy in a jump diffusion risk process
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- Minimax martingale method for optimal investment-reinsurance problem in a general insurance company risk model
- Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
- The optimum dynamic policy of reinsurance for an insurance company operating on a \(B,S\)-market
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- Optimal mean-semi-variance investment-reinsurance problem under probability distortion for an insurer
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- Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
- Minimization of absolute ruin probability in a class of diffusion model
- A fully nonlinear free boundary problem for minimizing the ruin probability
- Optimal reinsurance with a systemic surplus shock
- On absolute ruin minimization under a diffusion approximation model
- Optimal proportional reinsurance policies for stochastic models
- Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
- Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
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