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"Optimal discounted drawdowns in a diffusion approximation under ..."

Leonie Violetta Brinker, Hanspeter Schmidli (2022)

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DOI: 10.1017/JPR.2021.68

access: closed

type: Journal Article

metadata version: 2022-07-25

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Leonie Violetta Brinker, Hanspeter Schmidli:
Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance. J. Appl. Probab. 59(2): 527-540 (2022)

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