Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
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
|
Subject: | Asymptotic analysis | Classical risk model | Diffusion approximation | Diffusion perturbation | Optimal reinsurance | Probability of ruin | Theorie | Theory | Risikomodell | Risk model | Rückversicherung | Reinsurance | Wahrscheinlichkeitsrechnung | Probability theory | Portfolio-Management | Portfolio selection |
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