1 citations · 1 across the 4 of their papers we have counts for
4 papers
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…
Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principle
Xiaoqing Liang, Ruodu Wang, Virginia Young
In this paper, we study an optimal insurance problem for a risk-averse individual who seeks to maximize the rank-dependent expected utility (RDEU) of her terminal wealth, and insur…
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…
A note on optimal expected utility of dividend payments with proportional reinsurance
Xiaoqing Liang, Zbigniew Palmowski
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proport…