Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (Q931183): Difference between revisions

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Latest revision as of 11:35, 28 June 2024

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Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
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    Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (English)
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    25 June 2008
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    exponential utility
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    Hamilton-Jacobi-Bellman equation
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    optimal strategy
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    probability of ruin
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    proportional reinsurance
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