Browsing Universidad Torcuato Di Tella by Author "Young, Virginia R."
Now showing items 1-1 of 1
-
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 ...