Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
From MaRDI portal
(Redirected from Publication:5087005)
Recommendations
- Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal reinsurance and investment in danger-zone and safe-region
Cites work
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- A note on strong solutions of stochastic differential equations with a discontinuous drift coeffi\-cient
- An introduction to stochastic differential equations with reflection
- Aspects of risk theory
- Dividends with tax and capital injection in a spectrally negative Lévy risk model
- Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times
- Lundberg's risk process with tax
- Minimizing the probability of lifetime drawdown under constant consumption
- New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
- Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
- On a comparison theorem for solutions of stochastic differential equations and its applications
- On magnitude, asymptotics and duration of drawdowns for Lévy models
- On minimizing drawdown risks of lifetime investments
- On optimal dividends with exponential and linear penalty payments
- On the drawdown of completely asymmetric Lévy processes
- Optimal investment to minimize the probability of drawdown
- Optimal proportional reinsurance policies for diffusion models
- Stochastic modeling and fair valuation of drawdown insurance
Cited in
(5)- 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
- Stabilised surplus and profits through reinsurance based on drawdown optimisation
- Optimal dividends under a drawdown constraint and a curious square-root rule
This page was built for publication: Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5087005)
