Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
DOI10.1137/21M1461666MaRDI QIDQ5886366FDOQ5886366
Nora Muler, Xiaoqing Liang, Virginia R. Young, Pablo Azcue
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
asymptotic analysisdiffusion approximationoptimal reinsuranceprobability of drawdownscaled Cramér-Lundberg model
Actuarial mathematics (91G05) Comparison principles in context of PDEs (35B51) Optimal stochastic control (93E20)
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Cited In (4)
- Drawdown analysis for the renewal insurance risk process
- Optimisation of drawdowns by generalised reinsurance in the classical risk model
- Optimal reinsurance arrangement under heterogeneous beliefs: a unified method with piecewise modification
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
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