Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
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Publication:784404
DOI10.1016/j.insmatheco.2020.03.008zbMath1445.91054arXiv2007.02547OpenAlexW3015124126MaRDI QIDQ784404
Virginia R. Young, Zhibin Liang, Xiaoqing Liang
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.02547
diffusion approximationasymptotic analysisoptimal reinsuranceclassical risk modelprobability of ruindiffusion perturbation
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