Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance

DOI10.1017/JPR.2021.68zbMATH Open1489.91215OpenAlexW4220764777MaRDI QIDQ5087005FDOQ5087005

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

zbMATH Keywords

diffusion approximationHamilton-Jacobi-Bellman equationoptimal proportional reinsurancedrawdown

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Diffusion processes (60J60) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
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Cited In (3)

• 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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