Ruin probabilities under an optimal investment and proportional reinsurance policy in a jump diffusion risk process
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- scientific article; zbMATH DE number 6001275
Cites work
- Asymptotic ruin probabilities and optimal investment
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- On minimizing the ruin probability by investment and reinsurance
- On reinsurance and investment for large insurance portfolios
- On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Optimal Proportional Reinsurance and Ruin Probability
- Optimal dynamic reinsurance policies for large insurance portfolios
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for insurers
- Optimal investment for investors with state dependent income, and for insurers
- Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Ruin theory for classical risk process that is perturbed by diffusion with risky investments
- Some distributions for classical risk process that is perturbed by diffusion
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
- Upper bound for ruin probabilities under optimal investment and proportional reinsurance
Cited in
(12)- Minimizing expected time to reach a given capital level before ruin
- Optimal investment and reinsurance in a jump diffusion risk model
- scientific article; zbMATH DE number 6613074 (Why is no real title available?)
- Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
- scientific article; zbMATH DE number 6285575 (Why is no real title available?)
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
- scientific article; zbMATH DE number 6001275 (Why is no real title available?)
- Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
- scientific article; zbMATH DE number 5260950 (Why is no real title available?)
- Ruin probability and optimal investment and excess of loss reinsurance policy
- Optimal investment and optimal reinsurance policy for jump-diffusion risk model
- Optimal proportional reinsurance and investment with minimizing ruin probability
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