Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
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DOI: 10.1080/03461238.2020.1788136
Abstract: In this paper, we determine the optimal reinsurance strategy to minimize the probability of drawdown, namely, the probability that the insurer's surplus process reaches some fixed fraction of its maximum value to date. We assume… read more here.
Keywords: probability drawdown; premium; variance premium; optimal reinsurance ... See more keywords