Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
Xiaoqing Liang, Zhibin Liang, Virginia R. Young
| Year of publication: |
2020
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| Authors: | Liang, Xiaoqing ; Liang, Zhibin ; Young, Virginia R. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 92.2020, p. 128-146
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| Subject: | Asymptotic analysis | Classical risk model | Diffusion approximation | Diffusion perturbation | Optimal reinsurance | Probability of ruin | Risikomodell | Risk model | Rückversicherung | Reinsurance | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Versicherungsmathematik | Actuarial mathematics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.03.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012242047