Optimal Investment for an Insurer to Minimize Its Probability of Ruin-Reference-Cited by-同舟云学术

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Optimal Investment for an Insurer to Minimize Its Probability of Ruin

Published:2004-04 Issue:2 Volume:8 Page:11-31
ISSN:1092-0277
Container-title:North American Actuarial Journal
language:en
Short-container-title:North American Actuarial Journal

Author:

Liu Chi Sang,Yang Hailiang

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference24 articles.

1. Controlled diffusion models for optimal dividend pay-out

2. The Capital Structure of a Firm

3. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

4. Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time

Cited by 86 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown;Methodology and Computing in Applied Probability;2024-08-24

2. Optimization for stochastic model arisen from investment problem associated with default risk;International Journal of Financial Engineering;2024-04-11

3. Robust investment for insurers with correlation ambiguity;The Quarterly Review of Economics and Finance;2024-02

4. Minimizing an insurer's probability of ruin with branching businesses;Mathematical Control and Related Fields;2024

5. Optimal Asset Allocation and Reinsurance Problem Under Enhanced Dynamic Contagious Processes;2024

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