Optimal proportional reinsurance and investment with minimum probability of ruin (Q426584): Difference between revisions
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| Property / review text | |||
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. | |||
| Property / review text: 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. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Pavel Stoynov / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J70 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 97M30 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6045308 / rank | |||
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| Property / zbMATH Keywords | |||
surplus process | |||
| Property / zbMATH Keywords: surplus process / rank | |||
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| Property / zbMATH Keywords | |||
proportional reinsurance | |||
| Property / zbMATH Keywords: proportional reinsurance / rank | |||
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| Property / zbMATH Keywords | |||
Hamilton-Jacobi-Bellman equation | |||
| Property / zbMATH Keywords: Hamilton-Jacobi-Bellman equation / rank | |||
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| Property / zbMATH Keywords | |||
optimal reinsurance-investment strategy | |||
| Property / zbMATH Keywords: optimal reinsurance-investment strategy / rank | |||
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Revision as of 22:54, 29 June 2023
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)
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11 June 2012
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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.
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surplus process
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proportional reinsurance
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Hamilton-Jacobi-Bellman equation
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optimal reinsurance-investment strategy
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