Search Results - subject:"Classical risk model"

Optimisation of drawdowns by generalised reinsurance in the classical risk model

Brinker, Leonie Violetta; Schmidli, Hanspeter - In: Decisions in Economics and Finance 46 (2023) 2, pp. 635-665

We consider a Cramér–Lundberg model representing the surplus of an insurance company under a general reinsurance control process. We aim to minimise the expected time during which the surplus is bounded away from its own running maximum by at least d0(discounted at a preference rate δ0) by...

Persistent link: https://www.econbiz.de/10015198558

Optimisation of drawdowns by generalised reinsurance in the classical risk model

Brinker, Leonie Violetta; Schmidli, Hanspeter - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 635-665

Persistent link: https://www.econbiz.de/10014443759

Nonparametric estimation of the ruin probability in the classical compound poisson risk model

Gao, Yuan; Chen, Lingju; Jiang, Jiancheng; You, Honglong - In: Journal of Risk and Financial Management 13 (2020) 12, pp. 1-12

upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the …

Persistent link: https://www.econbiz.de/10012611525

Nonparametric estimation of the ruin probability in the classical compound poisson risk model

Gao, Yuan; Chen, Lingju; Jiang, Jiancheng; You, Honglong - In: Journal of risk and financial management : JRFM 13 (2020) 12/298, pp. 1-12

upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the …

Persistent link: https://www.econbiz.de/10012392224