Minimizing the probability of absolute ruin under the mean‐variance premium principle

DOI10.1002/OCA.2702zbMATH Open1471.91460OpenAlexW3126897297MaRDI QIDQ5159775FDOQ5159775

Authors: Xia Han, Zhibin Liang, Kam Chuen Yuen 

Publication date: 28 October 2021

Published in: Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2702

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• scientific article; zbMATH DE number 5502241

zbMATH Keywords

optimal reinsurance-investment strategyabsolute ruinmean-variance premium principleper-loss reinsuranceS-shaped value function

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cited In (10)

• Title not available (Why is that?)
• Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
• Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment
• Minimization of absolute ruin probability under negative correlation assumption
• Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
• Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
• Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
• Stochastic differential reinsurance and investment games with delay under VaR constraints⋆
• A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment
• Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer

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