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Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis.

Pablo AzcueXiaoqing LiangNora MulerVirginia R. Young
Published in: SIAM J. Financial Math. (2023)
Keyphrases
  • asymptotic analysis
  • sample path
  • fluid model
  • optimal solution
  • dynamic programming
  • optimal control
  • worst case
  • asymptotically optimal
  • evolutionary algorithm
  • probability distribution
  • higher level
  • utility function