Optimal investment-reinsurance policy for an insurance company with VaR constraint (Q661229): Difference between revisions

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Latest revision as of 21:13, 4 July 2024

scientific article
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Optimal investment-reinsurance policy for an insurance company with VaR constraint
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    Optimal investment-reinsurance policy for an insurance company with VaR constraint (English)
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    10 February 2012
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    investment
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    reinsurance
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    ruin probability
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    value-at-risk
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    HJB equation
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    Lagrangian method
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