Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
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Publication:5087005
DOI10.1017/JPR.2021.68zbMATH Open1489.91215OpenAlexW4220764777MaRDI QIDQ5087005FDOQ5087005
Authors: Leonie Violetta Brinker, Hanspeter Schmidli 
Publication date: 8 July 2022
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/jpr.2021.68
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Actuarial mathematics (91G05) Diffusion processes (60J60) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)
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Cited In (4)
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
- Optimisation of drawdowns by generalised reinsurance in the classical risk model
- Optimal dividends under a drawdown constraint and a curious square-root rule
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