Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Author:
Affiliation:
1. School of Mathematical Sciences, Nanjing Normal University, Jiangsu, P.R. China.
2. Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong, Hong Kong.
Funder
National Natural Science Foundation of China
Natural Science Foundation of Jiangsu Province
Research Grants Council of the Hong Kong Special Administrative Region, China
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2018.1469098
Reference28 articles.
1. Optimal investment to minimize the probability of drawdown
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5. A note on applications of stochastic ordering to control problems in insurance and finance
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