2 papers
math.OC2022
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
Pablo Azcue, Xiaoqing Liang, Nora Muler +1
In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cramér-Lundberg risk model when the reinsurance premium is computed…
math.OC2020
Optimal Reinsurance under the Mean-Variance Premium Principle to Minimize the Probability of Ruin
Xiaoqing Liang, Zhibin Liang, Virginia R. Young
We consider the problem of minimizing the probability of ruin by purchasing reinsurance whose premium is computed according to the mean-variance premium principle, a combination of…