Listar Universidad Torcuato Di Tella por autor "Liang, Xiaoqing"
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Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
Azcue, Pablo; Muler, Nora; Liang, Xiaoqing; Young, Virginia R. (SIAM Journal on Financial Mathematics, 2023)In 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 ...