Minimizing the probability of absolute ruin under the mean‐variance premium principle
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Publication:5159775
DOI10.1002/oca.2702zbMath1471.91460OpenAlexW3126897297MaRDI QIDQ5159775
Zhibin Liang, Xia Han, Kam-Chuen Yuen
Publication date: 28 October 2021
Published in: Optimal Control Applications and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/oca.2702
optimal reinsurance-investment strategyabsolute ruinmean-variance premium principleper-loss reinsuranceS-shaped value function
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