Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance

DOI10.1016/J.SPL.2018.05.005zbMath1410.91272OpenAlexW2804485950MaRDI QIDQ1644203

Virginia R. Young, Xiaoqing Liang

Publication date: 21 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.05.005

zbMATH Keywords

stochastic controltransaction costsoptimal reinsuranceoptimal investmentprobability of ruin

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (7)

Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance ⋮ Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business ⋮ Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion ⋮ Minimizing the probability of lifetime exponential Parisian ruin ⋮ MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS ⋮ Robust optimal reinsurance-investment strategy with price jumps and correlated claims ⋮ Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk

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