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ArticleMinimizing the probability of ruin: Optimal per-loss reinsurance

Xiaoqing Liang2018

Article2018

Minimizing the probability of ruin: Optimal per-loss reinsurance

Xiaoqing Liang · Virginia R. Young

50 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

1991Aspects of Risk Theory 1968Aspects of Rational Insurance Purchasing 1986Actuarial Mathematics.1992Aspects of Rational Insurance Purchasing 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift 2000Optimal investment for insurers 1994On the Mathematical Theory of Risk 2004Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin

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2011Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck processarticle · 4 shared references 2014Optimal reinsurance and investment strategies for insurer under interest rate and inflation risksarticle · 4 shared references 2015Optimal reinsurance and asset allocation under regime switchingarticle · 4 shared references 2007Upper bound for ruin probabilities under optimal investment and proportional reinsurancearticle · 4 shared references 2007Optimal Proportional Reinsurance and Ruin Probabilityarticle · 4 shared references 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Driftarticle · 3 shared references

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Year2018

Typearticle

Published2018-08-04

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations50

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2018.07.005

openalex_workW2886538686

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