Optimal proportional reinsurance and investment with minimum probability of ruin (Q426584): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 00:14, 5 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
