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20102024
most citedOptimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk

2 citations · 2 across the 4 of their papers we have counts for

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econ.GN2024

Optimal VPPI strategy under Omega ratio with stochastic benchmark

Guohui Guan, Lin He, Zongxia Liang +1

This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is to determine the risk multiplier by maximizing the extended Omega ratio of the invest…