Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
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Publication:5140640
DOI10.1080/03461238.2020.1788136zbMATH Open1454.91191OpenAlexW3038175958MaRDI QIDQ5140640FDOQ5140640
Authors: Xia Han, Zhibin Liang, Virginia R. Young 
Publication date: 16 December 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2020.1788136
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Cited In (28)
- Drawdown analysis for the renewal insurance risk process
- Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimisation of drawdowns by generalised reinsurance in the classical risk model
- Optimal reinsurance and investment problems to minimize the probability of drawdown
- Optimal claim-dependent proportional reinsurance under a self-exciting claim model
- Minimizing the probability of absolute ruin under ambiguity aversion
- Discounted probability of exponential Parisian ruin: diffusion approximation
- Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process
- Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- Optimal investment and proportional reinsurance strategies to minimize the probability of drawdown under ambiguity aversion
- A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
- Bowley solution of a mean-variance game in insurance
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
- Average value-at-risk minimizing reinsurance under Wang's premium principle with constraints
- Optimal portfolio and reinsurance with two differential risky assets
- Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
- 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
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- Optimal reinsurance and investment in danger-zone and safe-region
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- Investigations to the optimal derivative-based investment and proportional reinsurance strategies
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Minimizing the discounted probability of exponential Parisian ruin via reinsurance
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