{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T14:38:21Z","timestamp":1787323101001,"version":"build-2736575974"},"reference-count":23,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"1","funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["12271274"],"award-info":[{"award-number":["12271274"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"name":"Research Foundation for Returned Scholars of Hebei Province","award":["C20200102"],"award-info":[{"award-number":["C20200102"]}]},{"name":"Cecil J. and Ethel M. Nesbitt Professorship of Actuarial Mathematics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2023,3,31]]},"abstract":"<jats:p>Abstract.<\/jats:p>\n                  <jats:p>In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cram\u00e9r\u2013Lundberg risk model when the reinsurance premium is computed according to the mean-variance premium principle. We extend the work of Liang, Liang, and Young [Insurance Math. Econom., 92 (2020), pp. 128\u2013146] 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 [Formula: see text]. We further show that using the optimal strategy from the diffusion approximation in the scaled classical risk model is [Formula: see text]-optimal.<\/jats:p>","DOI":"10.1137\/21m1461666","type":"journal-article","created":{"date-parts":[[2023,3,2]],"date-time":"2023-03-02T09:53:30Z","timestamp":1677750810000},"page":"279-313","source":"Crossref","is-referenced-by-count":5,"title":["Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis"],"prefix":"10.1137","volume":"14","author":[{"given":"Pablo","family":"Azcue","sequence":"first","affiliation":[{"name":"Departamento de Matematicas, Universidad Torcuato Di Tella. Av. Figueroa Alcorta 7350 (C1428BIJ) Ciudad de Buenos Aires, Argentina."}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5542-815X","authenticated-orcid":true,"given":"Xiaoqing","family":"Liang","sequence":"additional","affiliation":[{"name":"Corresponding author. Department of Statistics, School of Sciences, Hebei University of Technology, Tianjin 300401, People\u2019s Republic of China."}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Nora","family":"Muler","sequence":"additional","affiliation":[{"name":"Departamento de Matematicas, Universidad Torcuato Di Tella. Av. Figueroa Alcorta 7350 (C1428BIJ) Ciudad de Buenos Aires, Argentina."}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Virginia R.","family":"Young","sequence":"additional","affiliation":[{"name":"Department of Mathematics, University of Michigan, Ann Arbor, MI 48109 USA."}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2023,3,3]]},"reference":[{"key":"ref1","doi-asserted-by":"publisher","DOI":"10.1080\/17442508.2016.1155590"},{"key":"ref2","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2016.05.007"},{"key":"ref3","doi-asserted-by":"publisher","DOI":"10.1080\/03461238.1984.10413752"},{"key":"ref4","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4939-0995-7"},{"key":"ref5","doi-asserted-by":"publisher","DOI":"10.1111\/j.0960-1627.2004.00183.x"},{"key":"ref6","doi-asserted-by":"publisher","DOI":"10.1017\/jpr.2021.68"},{"key":"ref7","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2015.08.007"},{"key":"ref8","doi-asserted-by":"publisher","DOI":"10.1080\/10920277.2016.1192478"},{"key":"ref9","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2020.06.003"},{"key":"ref10","doi-asserted-by":"publisher","DOI":"10.1137\/20M1354738"},{"key":"ref11","first-page":"77","volume":"65","author":"Cvitani\u0107 J.","year":"1995","journal-title":"IMA Lect. 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