Optimal proportional reinsurance and investment with minimum probability of ruin (Q426584): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.amc.2011.11.031 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2022618210 / rank | |||
Normal rank | |||
Revision as of 20:16, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal proportional reinsurance and investment with minimum probability of ruin |
scientific article |
Statements
Optimal proportional reinsurance and investment with minimum probability of ruin (English)
0 references
11 June 2012
0 references
The authors minimize the probability of ruin in a model in which surplus process includes reinsurance and investment and follows Brownian dynamics. The reinsurance is proportional and investment is in a risk-free asset and in a risky asset. The authors solve the corresponding Hamilton-Jacobi-Bellman equations and derive optimal reinsurance-investment strategy.
0 references
surplus process
0 references
proportional reinsurance
0 references
Hamilton-Jacobi-Bellman equation
0 references
optimal reinsurance-investment strategy
0 references
