Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
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Cites work
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
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- 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
(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
- Optimal dividends under a drawdown constraint and a curious square-root rule
- Optimisation of drawdowns by generalised reinsurance in the classical risk model
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