Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (Q931183): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 01:39, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint |
scientific article |
Statements
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (English)
0 references
25 June 2008
0 references
exponential utility
0 references
Hamilton-Jacobi-Bellman equation
0 references
optimal strategy
0 references
probability of ruin
0 references
proportional reinsurance
0 references
