Author:
Huang Ying,Huang Ya,Zhou Jieming
Publisher
Springer Science and Business Media LLC
Reference37 articles.
1. Browne S, Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin, Mathematics of Operations Research, 1995, 20(4): 937–958.
2. Promislow S D and Young V R, Minimizing the probability of ruin when claim follow Brownian motion with drift, North American Actuarial Journal, 2005, 9(3): 110–128.
3. Angoshtari B, Bayraktar E, and Young V R, Optimal investment to minimize the probability of drawdown, Stochastics, 2016, 88(6): 946–958.
4. Li D P and Young V R, Optimal reinsurance to minimize the discounted probability of ruin under ambiguity, Insurance: Mathematics and Economics, 2019, 87): 143–152.
5. Han X, Liang Z B, and Young V R, Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle, Scandinavian Actuarial Journal, 2020, 2020(10): 879–903.