Minimization of absolute ruin probability under negative correlation assumption

DOI10.1016/J.INSMATHECO.2015.10.003MaRDI QIDQ896770zbMATH OpenOpenAlexFDO

Authors Zongxia Liang, Mingsi Long

Publication date 14 December 2015

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.10.003

zbMATH Keywords

negative correlationHJB equationoptimal investmentoptimal proportional reinsuranceabsolute ruin probability

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Martingales and insurance risk
• Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment
• On absolute ruin minimization under a diffusion approximation model
• On the time value of absolute ruin with debit interest
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal investment and risk control policies for an insurer: expected utility maximization
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
• Stochastic optimal control and the U.S. financial debt crisis

Cited in

(4)

• Minimizing the probability of absolute ruin under ambiguity aversion
• A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
• Optimal reinsurance-investment problem with dependent risks based on Legendre transform
• Minimizing the probability of absolute ruin under the mean‐variance premium principle

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