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Optimal reinsurance and investment with unobservable claim size and intensity

Liang, Zhibin; Bayraktar, Erhan - In: Insurance / Mathematics & economics 55 (2014), pp. 156-166

Persistent link: https://www.econbiz.de/10010366184

Minimizing the probability of lifetime drawdown under constant consumption

Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223

Persistent link: https://www.econbiz.de/10011533908

Minimizing the expected lifetime spent in drawdown under proportional consumption

Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 15 (2015), pp. 106-114

Persistent link: https://www.econbiz.de/10011552995

Optimally investing to reach a bequest goal

Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 70 (2016), pp. 1-10

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Proving regularity of the minimal probability of ruin via a game of stopping and control

Bayraktar, Erhan; Young, Virginia - In: Finance and Stochastics 15 (2011) 4, pp. 785-818

Persistent link: https://www.econbiz.de/10009400202

Optimal reinsurance and investment with unobservable claim size and intensity

Liang, Zhibin; Bayraktar, Erhan - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 156-166

We consider the optimal reinsurance and investment problem in an unobservable Markov-modulated compound Poisson risk model, where the intensity and jump size distribution are not known but have to be inferred from the observations of claim arrivals. Using a recently developed result from...

Persistent link: https://www.econbiz.de/10011046636