On minimizing the ruin probability by investment and reinsurance

By Hanspeter Schmidli. 2002

368 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/96f26c9f04c737422e5ea169fc2ad9dda42ed384

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Citations in the corpus

Optimal proportional reinsurance with common shock dependence (2015, background): “Among others, Browne (1995), Schmidli (2001, 2002), Promislow and Young (2005), and Bai et al. (2013) derive optimal strategies that minimize ruin probability; Kaluszka (2001, 2004) examine the optimal reinsurance problem under various mean-variance premium principles; Centeno (1986, 2002), Hald…”
Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, background): “Browne (1995), Schmidli (2002), Liang (2007), and Luo et al. (2008) consider the objective function that minimizes ruin probability.”
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2010, background): “1 given in Resnick andWillekens (1991). However, it is much harder to prove the claimed uniformity of relation (2.”
Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (2019, background): “Some recent works related to these criteria can be found in Browne (1995), Schmidli (2002), Liu and Yang (2004), Promislow and Young (2005), Yang and Zhang (2005), Liang et al. (2011), Bi and Guo (2013), and so on.”
Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (2018, background): “For example, Schmidli (2002) considered the optimal reinsurance-investment problemofminimizing ruin probability; Bäuerle (2005) studied the optimal reinsurance problem with a mean–variance criterion; Bai and Guo (2008) focused on https://doi.org/10.1016/j.insmatheco.2018.03.004 0167-6687/© 2018…”
Optimal Investment for an Insurer to Minimize Its Probability of Ruin (2004, background): “Because the proofs are similar to those in the literature, for example, Hipp (2000), Hipp and Plum (2000), and Schmidli (2002), we state the results without proofs.”
Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints (2009, background): “Schmidli (2002) solved a related problem, he found the optimal investment strategy and the optimal proportional reinsurance policy which minimizes the ruin probability, with no borrowing constraints.”
Dividend maximization under consideration of the time value of ruin (2007, background): “Combinations of both investment and reinsurance are considered in Schmidli [20], see Schmidli [22] for a nice recent survey on this subject.”
Optimal investment policy and dividend payment strategy in an insurance company (2010, background): “Hipp and Plum (2000) and Schmidli (2002) studied and found classical solutions of the equation supγ∈R Lγ (W) = 0 with c = 0 for the problem of minimizing the ruin probability of an insurance company without borrowing constraints.”