Minimization of absolute ruin probability under negative correlation assumption
Zongxia Liang, Mingsi Long (Department of Mathematical Sciences, Tsinghua University, Beijing, China)
| Year of publication: |
2015
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|---|---|
| Authors: | Liang, Zongxia ; Long, Mingsi |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 65.2015, p. 247-258
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| Subject: | Absolute ruin probability | Optimal proportional reinsurance | Optimal investment | Negative correlation | HJB equation | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Risikomodell | Risk model | Rückversicherung | Reinsurance | Risiko | Risk | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Insolvenz | Insolvency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2015.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011428668