Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis

DOI10.1137/21M1461666MaRDI QIDQ5886366zbMATH OpenFDO

Authors Pablo Azcue, Xiaoqing Liang, Nora Muler, Virginia R. Young

Publication date 31 March 2023

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2201.00481

zbMATH Keywords

asymptotic analysisdiffusion approximationoptimal reinsuranceprobability of drawdownscaled Cramér-Lundberg model

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Comparison principles in context of PDEs (35B51) Optimal stochastic control (93E20)

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Cites work

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• Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
• Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
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• Risk theory
• Stochastic optimization in insurance. A dynamic programming approach

Cited in

(9)

• Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
• Drawdown analysis for the renewal insurance risk process
• Optimisation of drawdowns by generalised reinsurance in the classical risk model
• Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
• Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
• Optimal reinsurance arrangement under heterogeneous beliefs: a unified method with piecewise modification
• Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
• Optimal per-loss reinsurance and investment to minimize the probability of drawdown
• Optimal reinsurance strategy with mean-variance premium principle and relative performance concern

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