Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
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DOI: 10.1017/jpr.2021.68
Abstract: Abstract A diffusion approximation to a risk process under dynamic proportional reinsurance is considered. The goal is to minimise the discounted time in drawdown; that is, the time where the distance of the present surplus… read more here.
Keywords: optimal discounted; diffusion approximation; reinsurance; proportional reinsurance ... See more keywords