Minimizing the probability of ruin : optimal per-loss reinsurance
Xiaoqing Liang, Virginia R. Young
| Year of publication: |
September 2018
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|---|---|
| Authors: | Liang, Xiaoqing ; Young, Virginia R. |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 82.2018, p. 181-190
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| Subject: | Probability of ruin | Optimal reinsurance | Stochastic control | Compound Poisson | Diffusion approximation | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Risikomodell | Risk model | Versicherungsmathematik | Actuarial mathematics | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Kontrolltheorie | Control theory | Finanzmathematik | Mathematical finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.07.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011929867