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On absolute ruin minimization under a diffusion approximation model · Study

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ArticleOn absolute ruin minimization under a diffusion approximation model

Shangzhen Luo2010

Article2010

On absolute ruin minimization under a diffusion approximation model

Shangzhen Luo · Michael Taksar

30 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

2005Controlled Markov Processes and Viscosity Solutions 1994Controlled markov processes and viscosity solutions 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift 2005Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)1989Martingales and insurance risk 2003Optimal dynamic reinsurance policies for large insurance portfolios 2007On reinsurance and investment for large insurance portfolios

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Year2010

Typearticle

Published2010-10-22

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations30

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2010.10.004

openalex_workW1982920830

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