Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
Xia Han, Zhibin Liang and Virginia R. Young
| Year of publication: |
2020
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|---|---|
| Authors: | Han, Xia ; Liang, Zhibin ; Young, Virginia R. |
| Subject: | mean-variance premium principle | optimal reinsurance | probability of drawdown | Stochastic optimal control | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection | Risikomodell | Risk model | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Risikomanagement | Risk management | Mathematische Optimierung | Mathematical programming | Wahrscheinlichkeitsrechnung | Probability theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2020.1788136 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012313745