Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
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Publication:4562052
DOI10.1080/03461238.2018.1469098zbMath1418.91240MaRDI QIDQ4562052
Zhibin Liang, Kam-Chuen Yuen, Xia Han
Publication date: 14 December 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2018.1469098
stochastic optimal control; proportional reinsurance; probability of drawdown; thinning-dependence structure
93E20: Optimal stochastic control
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