Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance (Q5087005): Difference between revisions

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Revision as of 02:46, 20 March 2024

scientific article; zbMATH DE number 7554602
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English
Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
scientific article; zbMATH DE number 7554602

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    Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance (English)
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    8 July 2022
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    drawdown
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    diffusion approximation
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    optimal proportional reinsurance
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    Hamilton-Jacobi-Bellman equation
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