Optimal per-loss reinsurance and investment to minimize the probability of drawdown

DOI10.3934/jimo.2021145OpenAlexW3197294680MaRDI QIDQ2171077

Zhibin Liang, Xia Han, Caibin Zhang, Y. Yuan

Publication date: 23 September 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.12158

zbMATH Keywords

stochastic optimal controlinvestmentprobability of drawdowncommon shock dependenceper-loss reinsurance

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items (1)

Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework

Cites Work

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