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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- Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
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- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
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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
- Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
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