Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Xia Han, Zhibin Liang and Kam Chuen Yuen
| Year of publication: |
August-December 2018
|
|---|---|
| Authors: | Han, Xia ; Liang, Zhibin ; Yuen, Kam Chuen |
| Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2018, 10, p. 863-889
|
| Subject: | Proportional reinsurance | stochastic optimal control | probability of drawdown | thinning-dependence structure | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Risikomanagement | Risk management | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2018.1469098 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011939763