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

DOI10.1002/OCA.2702MaRDI QIDQ5159775zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

absolute ruinmean-variance premium principleoptimal reinsurance-investment strategyper-loss reinsuranceS-shaped value function

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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• A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment
• Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
• Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
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