Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift

By David Promislow, Virginia R. Young. 2005

326 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/aad90d3ceb59c6c952211ba26bce08906f7fcbec

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Citations in the corpus

Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, methodology): “…works well for large insurance portfolios since each claim is relatively small compared to the size of surplus, and this model has been widely used in the literature, for example, Browne (1995), Promislow and Young (2005), Gerber and Shiu (2006), Bai and Guo (2008), Chen et al. (2010), and so on.”
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): “See, for example, Schmidli (2001), Irgens & Paulsen (2004), Promislow & Young (2005), Liang et al. (2011), and Liang & Young (2012).”
Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2016, background): “In recent years, this problem has been studied in terms of a variety of objectives, such as minimizing the probability of ruin (see Promislow and Young, 2005; Azcue and Muler, 2013), maximizing the expected utility from terminal wealth (see Bai and ∗ Corresponding author.”
Ruin Models with Investment Income (2008, background): “Further examples for the diffusion model, including some that allow for reinsurance, can be found in [53].”
Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, methodology): “Following the assumption in Promislow & Young (2005), we formulate the claim process C(t) of the insurer as dC(t) = adt − bdZR(t), (2.1) where a > 0 is the rate of the claim and b > 0 can be regarded as the volatility of the claim process.”
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, background): “Promislow and Young[29] (2005) obtained an analytic expression for the minimum probability of ruin when purchasing quota-share reinsurance was available.”
Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints (2009, methodology): “In the setting of the diffusion approximation, Promislow and Young (2005) and Luo (2008) found the optimal investment strategy and the optimal proportional reinsurance policy which minimizes the ruin probability under different borrowing constraints.”