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Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance - MaRDI portal

Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance (Q5222158)

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scientific article; zbMATH DE number 7184191
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English
Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance
scientific article; zbMATH DE number 7184191

    Statements

    title
    Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance (English)
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    author
    Xiaoqing Liang
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    Virginia R. Young
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    publication date
    1 April 2020
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    zbMATH Keywords
    exponential Parisian ruin
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    Cramér-Lundberg risk model
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    optimal reinsurance
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    mean-variance premium principle
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    stochastic Perron's method
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    cites work
    Q4942594
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    Q5434181
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    Identifiers

    DOI
    10.1137/19M1282714
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    zbMATH DE Number
    7184191
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    Wikidata QID
    Q115525565
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    arXiv ID
    2001.08344
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