Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Abstract
In this paper, we consider the optimal proportional reinsurance problem in a risk model with the thinning-dependence structure, and the criterion is to minimize the probability that the value of the surplus process drops below some fixed proportion of its maximum value to date which is known as the probability of drawdown. The thinning dependence assumes that stochastic sources related to claim occurrence are classified into different groups,...
Paper Details
Title
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Published Date
Oct 30, 2018
Volume
2018
Issue
10
Pages
863 - 889
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