Optimal reinsurance: minimize the expected time to reach a goal
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03461238.2015.1015161
Reference28 articles.
1. OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
2. Optimal investment strategy to minimize occupation time
3. Optimal constrained investment in the Cramer-Lundberg model
4. Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
5. OPTIMAL GROWTH IN CONTINUOUS-TIME WITH CREDIT RISK
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1. Expected Power Utility Maximization of Insurers;Asia-Pacific Financial Markets;2023-10-03
2. Robust optimal reinsurance in minimizing the penalized expected time to reach a goal;Journal of Computational and Applied Mathematics;2023-03
3. Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria: Partial and Full Information;Journal of Systems Science and Complexity;2022-08
4. Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model;Mathematical Control and Related Fields;2022
5. Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer;GAZI UNIVERSITY JOURNAL OF SCIENCE;2020-06-01
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