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Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152

Persistent link: https://www.econbiz.de/10012058937

On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models

Ji, Lanpeng - In: Scandinavian actuarial journal 2020 (2020) 9, pp. 819-842

Persistent link: https://www.econbiz.de/10012313740

Minimizing the probability of ruin : optimal per-loss reinsurance

Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 82 (2018), pp. 181-190

Persistent link: https://www.econbiz.de/10011929867

Duality in ruin problems for ordered risk models

Goffard, Pierre-Olivier; Lefevre, Claude - In: Insurance / Mathematics & economics 78 (2018), pp. 44-52

Persistent link: https://www.econbiz.de/10011825076

Quantifying distributional model risk via optimal transport

Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600

Persistent link: https://www.econbiz.de/10012028635

Optimal investment under dual risk model and Markov modulated financial market

Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10011398985

Heatmap design for probabilistic driver repositioning in crowdsourced delivery

Alnaggar, Aliaa; Gzara, Fatma; Bookbinder, James H. - 2025

Persistent link: https://www.econbiz.de/10015359520

Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches

Strietzel, Philipp Lukas; Heinrich, Henriette Elisabeth - In: Risks : open access journal 10 (2022) 6, pp. 1-23

We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the …

Persistent link: https://www.econbiz.de/10013363123

Computational framework for longevity risk management

D'Amato, Valeria; Haberman, Steven; Piscopo, Gabriella; … - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 111-137

Persistent link: https://www.econbiz.de/10010251207

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks : open access journal 7 (2019) 2/48, pp. 1-23

premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton … company can borrow and invest money at a constant real-valued risk-free interest rate r. Our model allows for stochastic risk …

Persistent link: https://www.econbiz.de/10012019228