Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
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Cites work
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- scientific article; zbMATH DE number 852301 (Why is no real title available?)
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- Maximizing a robust goal-reaching probability with penalization on ambiguity
- Minimizing the probability of lifetime drawdown under constant consumption
- Minimizing the probability of lifetime ruin under ambiguity aversion
- Minimizing the probability of ruin: optimal per-loss reinsurance
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- Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
- Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
- Optimal dynamic reinsurance policies for large insurance portfolios
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Optimal investment to minimize the probability of drawdown
- Optimal lifetime consumption and investment under a drawdown constraint
- Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal non-proportional reinsurance control
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Stochastic differential games between two insurers with generalized mean-variance premium principle
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Cited in
(34)- Bowley solution of a mean-variance game in insurance
- Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown
- Minimizing the probability of absolute ruin under ambiguity aversion
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Average value-at-risk minimizing reinsurance under Wang's premium principle with constraints
- Optimal investment and proportional reinsurance strategies to minimize the probability of drawdown under ambiguity aversion
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Drawdown analysis for the renewal insurance risk process
- Optimal reinsurance and investment in danger-zone and safe-region
- Discounted probability of exponential Parisian ruin: diffusion approximation
- Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
- Minimizing the discounted probability of exponential Parisian ruin via reinsurance
- scientific article; zbMATH DE number 5027121 (Why is no real title available?)
- Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- 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 portfolio and reinsurance with two differential risky assets
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Investigations to the optimal derivative-based investment and proportional reinsurance strategies
- Optimal reinsurance and investment problems to minimize the probability of drawdown
- Optimal claim-dependent proportional reinsurance under a self-exciting claim model
- A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- Optimal individual health insurance strategy combined investment, consumption, income and public insurance
- On penalized goal-reaching probability minimization with a common shock for an AAI
- Optimal risk sharing with correlated insurance businesses in a Stackelberg-Nash differential game
- Proportional reinsurance and investment based on the Ornstein-Uhlenbeck process in the presence of two reinsurers
- Minimizing the penalized goal-reaching probability with multiple dependent risks
- Reinsurance, investment and the rationality with a diffusion model approximating a jump model
- Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
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