Minimization of absolute ruin probability under negative correlation assumption
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Publication:896770
DOI10.1016/J.INSMATHECO.2015.10.003zbMATH Open1348.91166OpenAlexW2191249039MaRDI QIDQ896770FDOQ896770
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
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negative correlationHJB equationoptimal investmentoptimal proportional reinsuranceabsolute ruin probability
Cites Work
- Optimal dynamic reinsurance policies for large insurance portfolios
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- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Stochastic optimal control and the U.S. financial debt crisis
- On the time value of absolute ruin with debit interest
- 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
Cited In (4)
- Minimizing the probability of absolute ruin under ambiguity aversion
- Minimizing the probability of absolute ruin under the mean‐variance premium principle
- A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
- Optimal reinsurance-investment problem with dependent risks based on Legendre transform
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