Minimization of absolute ruin probability in a class of diffusion model

DOI10.19638/J.ISSN1671-1114.20210303MaRDI QIDQ5017277zbMATH OpenFDO

Authors Long Chen, Xiulian Wang

Publication date 17 December 2021

Full work available at URL https://doi.org/10.19638/J.ISSN1671-1114.20210303

zbMATH Keywords

absolute ruin probabilitydiffusion modeldynamic investment controlHamilton-Jacobi-Bellman equationproportion reinsurance

Mathematics Subject Classification ID

Diffusion processes (60J60) Actuarial mathematics (91G05)

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Cited in

(6)

• On absolute ruin minimization under a diffusion approximation model
• Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment
• On one minimax problem on the class of distribution functions increasing hazard rate
• Minimization of ruin probability under excess-claim reinsurance and investment
• Minimizing the probability of absolute ruin under the mean‐variance premium principle
• Minimization of absolute ruin probability under negative correlation assumption

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