Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
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Publication:5087005
DOI10.1017/jpr.2021.68zbMath1489.91215OpenAlexW4220764777MaRDI QIDQ5087005
Leonie Violetta Brinker, Hanspeter Schmidli
Publication date: 8 July 2022
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/jpr.2021.68
Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Actuarial mathematics (91G05)
Related Items (3)
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule
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