Minimization of ruin probability with joint strategies of investment and reinsurance
Author:
Affiliation:
1. Department of Statistics, University of Manitoba, Winnipeg, Manitoba, Canada
2. Warren Centre for Actuarial Studies and Research, University of Manitoba, Winnipeg, Manitoba, Canada
Funder
Natural Sciences and Engineering Research Council of Canada
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2021.2009870
Reference12 articles.
1. Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
2. Reinsurance and ruin
3. Aspects of Risk Theory
4. Optimal investment for insurers
5. Minimizing the probability of ruin: Optimal per-loss reinsurance
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1. Asymptotics for the ruin probability in a proportional reinsurance risk model with dependent insurance and financial risks;Communications in Statistics - Theory and Methods;2024-02-29
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