Optimal proportional reinsurance and investment with minimum probability of ruin
- 1 January 2012
- journal article
- Published by Elsevier BV in Applied Mathematics and Computation
- Vol. 218 (9), 5433-5438
- https://doi.org/10.1016/j.amc.2011.11.031
Abstract
No abstract availableThis publication has 10 references indexed in Scilit:
- Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraintsInsurance: Mathematics and Economics, 2009
- An Extension of Arrow's Result on Optimal Reinsurance ContractJournal of Risk and Insurance, 2008
- Ruin probabilities for discrete time risk models with stochastic rates of interestStatistics & Probability Letters, 2008
- Ruin probability in the presence of risky investmentsStochastic Processes and their Applications, 2006
- Ruin Probability Minimization and Dividend Distribution Optimization in Diffusion ModelsPublished by Institute of Electrical and Electronics Engineers (IEEE) ,2006
- Truncated Stop Loss as Optimal Reinsurance Agreement in One-period ModelsASTIN Bulletin, 2005
- Optimal reinsurance under mean-variance premium principlesInsurance: Mathematics and Economics, 2001
- Insurer’s optimal reinsurance strategiesInsurance: Mathematics and Economics, 2000
- Optimal insurance under Wang’s premium principleInsurance: Mathematics and Economics, 1999
- Discussion of Christofides' Conjecture Regarding Wang's Premium PrincipleASTIN Bulletin, 1999