Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown-Reference-Cited by-同舟云学术

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Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown

Published:2024-08-24 Issue:3 Volume:26 Page:
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Liu Yakun,Li Jingchao,Zhou Jieming,Deng Yingchun

Funder

the Shenzhen Municipal Natural Science Foundation

the Science and Technology Planning Project of Shenzhen Municipality, P.R.China

the Natural Science Foundation of Hunan Province

the Changsha Municipal Natural Science Foundation

Publisher

Springer Science and Business Media LLC

Link

https://link.springer.com/content/pdf/10.1007/s11009-024-10096-9.pdf

Reference44 articles.

1. Angoshtari B, Bayraktar E, Young VR (2015) Minimizing the expected lifetime spent in drawdown under proportional consumption. Financ Res Lett 15:106–114

2. Angoshtari B, Bayraktar E, Young VR (2016a) Minimizing the probability of the lifetime drawdown under constant consumption. Insur Math Econ 69:210–223

3. Angoshtari B, Bayraktar E, Young VR (2016b) Optimal investment to minimize the probability of drawdown. Stochastics 88(6):946–958

4. Bai L, Guo J (2008) Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Insur Math Econ 42:968–975

5. Bai L, Cai J, Zhou M (2013) Optimal reinsurance policies for insurer with a bivariate reserve risk process in a dynamic setting. Insur Math Econ 53:664–670

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