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dc.rights.licensehttps://creativecommons.org/licenses/by-sa/2.5/ar/es_AR
dc.contributor.authorAzcue, Pabloes_AR
dc.contributor.authorMuler, Noraes_AR
dc.contributor.authorLiang, Xiaoqinges_AR
dc.contributor.authorYoung, Virginia R.es_AR
dc.date.accessioned2023-06-14T20:40:28Z
dc.date.available2023-06-14T20:40:28Z
dc.date.issued2023
dc.identifier.urihttps://repositorio.utdt.edu/handle/20.500.13098/11875
dc.identifier.urihttps://doi.org/10.1137/21M1461666
dc.description.abstractIn this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cram´er-Lundberg risk model when the reinsurance premium is computed according to the mean-variance premium principle. We extend the work of Liang et al. [16] to the case of minimizing the probability of drawdown. By using the comparison method and the tool of adjustment coefficients, we show that the minimum probability of drawdown for the scaled classical risk model converges to the minimum probability for its diffusion approximation, and the rate of convergence is of order O(n−1/2). We further show that using the optimal strategy from the diffusion approximation in the scaled classical risk model is O(n−1/2)-optimales_AR
dc.description.sponsorshipEste documento es una versión del artículo publicado en SIAM Journal on Financial Mathematics, 14(1), 279–313es_AR
dc.format.extent37 p.es_AR
dc.format.mediumapplication/pdfes_AR
dc.languageenges_AR
dc.publisherSIAM Journal on Financial Mathematicses_AR
dc.relation.isversionofAzcue, P., Liang, X., Muler, N., & Young, V. R. (2023). Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis. SIAM Journal on Financial Mathematics, 14(1), 279–313. https://doi.org/10.1137/21m1461666
dc.rightsinfo:eu-repo/semantics/openAccesses_AR
dc.subjectOptimal reinsurancees_AR
dc.subjectProbability of drawdownes_AR
dc.subjectScaled Cram´er-Lundbergmodeles_AR
dc.subjectAsymptotic analysises_AR
dc.subjectDiffusion approximationes_AR
dc.titleOptimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysises_AR
dc.typeinfo:eu-repo/semantics/articlees_AR
dc.type.versioninfo:eu-repo/semantics/submittedVersiones_AR
dc.description.filiationUniversidad Torcuato Di Tella
dc.description.filiationHebei University of Technology
dc.description.filiationDepartment of Mathematics, University of Michigan


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