Optimal Investment for an Insurer to Minimize Its Probability of Ruin
By Chi-sang. Liu, Hailiang Yang. 2004
133 citations recorded by the source corpus.
Subfields: Demography, Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/12d63ea16661662bfbc2767c908a4c666c874016
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Robert J. R. Elliott
- Guohui Guan
- Tak Kuen Siu
- Zongxia Liang
- Jostein Paulsen
- Guang-Hua Lian
- Christiane Lemieux
- George Yin
In Economics and Econometrics
- Tak Kuen Siu
- Guohui Guan
- Robert J. R. Elliott
- Zongxia Liang
- Jostein Paulsen
- M. Cole
- Muhammad Shahbaz
- David Nualart
In Management Science and Operations Research
- Guohui Guan
- Zongxia Liang
- Robert J. R. Elliott
- Tak Kuen Siu
- Jostein Paulsen
- Kam Chuen Yuen
- Qihe Tang
- Samuel N. Cohen
Citations in the corpus
- A stochastic differential game for optimal investment of an insurer with regime switching (2011, background): “…the situation when the surplus of an insurance company was invested in a risky asset, say a capital market index, whose dynamics follows a GBM. Liu and Yang (2004) studied the optimal investment problem of an insurance company when the company can invest in the money market and in a risky…”
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, background): “Many literatures can refer to, for example, Yang and Zhang[33](2005), Wang[31](2007), Liu and Yang[27](2004), Bai and Guo[2](2008) and references therein.”
- Ruin Models with Investment Income (2008, background): “However, numerical examples given in [39] indicate that this conjecture holds.”