Optimal Proportional Reinsurance and Ruin Probability
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Publication:5423134
DOI10.1080/15326340701300894zbMath1253.60092OpenAlexW2078772609MaRDI QIDQ5423134
Publication date: 31 October 2007
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326340701300894
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Cites Work
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- Risk theory for the compound Poisson process that is perturbed by diffusion
- Optimal investment for insurer with jump-diffusion risk process
- Aspects of risk theory
- Asymptotic ruin probabilities and optimal investment
- Optimal investment for investors with state dependent income, and for insurers
- On minimizing the ruin probability by investment and reinsurance
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Optimal investment for insurers
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