Concepedia

Minimizing the probability of ruin: Two riskless assets with transaction costs and proportional reinsurance

Xiaoqing Liang, Virginia R. Young

Statistics & Probability Letters · 2018 · 17 citations · 16 references

DOI

Concepts

References

16

Portfolio Selection with Transaction Costs

Mark H. Davis, A. R. Norman · Mathematics of Operations Research · 1990 · 1.4K citations · Full text

, , +14

Optimal Investment and Consumption with Transaction Costs

Steven E. Shreve, H. Meté Soner · The Annals of Applied Probability · 1994 · 662 citations · Full text

, , +16

Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

Sid Browne · Mathematics of Operations Research · 1995 · 622 citations

, , +17

On minimizing the ruin probability by investment and reinsurance

Hanspeter Schmidli · The Annals of Applied Probability · 2002 · 340 citations · Full text

, , +15

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

S. David Promislow, Virginia R. Young · North American Actuarial Journal · 2005 · 315 citations

, , +13