Optimal prevention strategies in the classical risk model

DOI10.1016/j.insmatheco.2020.02.003zbMath1435.91149OpenAlexW2990732613MaRDI QIDQ2306103

Romain Gauchon, Julien Trufin, Stéphane Loisel, Jean-Louis Rullière

Publication date: 20 March 2020

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

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/303364/3/OptimalPreventionStrategiesDiffusion.pdf

zbMATH Keywords

insuranceruin theoryself-protectionpreventionoptimal prevention strategy

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (1)

Optimal prevention of large risks with two types of claims

Cites Work

• Unnamed Item
• Self-insurance, self-protection and increased risk aversion
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• On minimizing the ruin probability by investment and reinsurance
• Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
• Approximations to ruin probability in the presence of an upper absorbing barrier
• Strategies for Dividend Distribution: A Review

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