Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
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Publication:5886366
DOI10.1137/21M1461666MaRDI QIDQ5886366
Nora Muler, Xiaoqing Liang, Virginia R. Young, Pablo Azcue
Publication date: 31 March 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.00481
diffusion approximationasymptotic analysisoptimal reinsuranceprobability of drawdownscaled Cramér-Lundberg model
Optimal stochastic control (93E20) Comparison principles in context of PDEs (35B51) Actuarial mathematics (91G05)
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