Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis-Reference-Cited by-同舟云学术

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Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis

Published:2023-03-03 Issue:1 Volume:14 Page:279-313
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Azcue Pablo¹,Liang Xiaoqing²^ORCID,Muler Nora¹,Young Virginia R.³

Affiliation:

1. Departamento de Matematicas, Universidad Torcuato Di Tella. Av. Figueroa Alcorta 7350 (C1428BIJ) Ciudad de Buenos Aires, Argentina.

2. Corresponding author. Department of Statistics, School of Sciences, Hebei University of Technology, Tianjin 300401, People’s Republic of China.

3. Department of Mathematics, University of Michigan, Ann Arbor, MI 48109 USA.

Funder

National Natural Science Foundation of China

Research Foundation for Returned Scholars of Hebei Province

Cecil J. and Ethel M. Nesbitt Professorship of Actuarial Mathematics

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Reference23 articles.

1. Optimal investment to minimize the probability of drawdown

2. Minimizing the probability of lifetime drawdown under constant consumption

3. Approximations for the probability of ruin within finite time

4. Stochastic Optimization in Insurance

5. Approximation of Optimal Reinsurance and Dividend Payout Policies

Cited by 2 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. Equilibrium per-loss reinsurance strategy with delay factors and ambiguity aversion under the cooperation framework;Mathematical Control and Related Fields;2024

2. Optimisation of drawdowns by generalised reinsurance in the classical risk model;Decisions in Economics and Finance;2023-05-30

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