Minimizing the probability of ruin: optimal per-loss reinsurance

DOI10.1016/j.insmatheco.2018.07.005zbMath1416.91202OpenAlexW2886538686MaRDI QIDQ1799651

Xiaoqing Liang, Virginia R. Young

Publication date: 19 October 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.07.005

zbMATH Keywords

diffusion approximationstochastic controlcompound Poissonoptimal reinsuranceprobability of ruin

Mathematics Subject Classification ID

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Cites Work

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• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Optimal Dynamic Risk Control for Insurers with State-Dependent Income
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• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
• Optimal investment for insurers

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