Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints (Q1003812): Difference between revisions
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Revision as of 01:52, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints |
scientific article |
Statements
Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints (English)
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4 March 2009
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Cramér-Lundberg process
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ruin probability
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insurance
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portfolio optimization
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borrowing constraints
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Hamilton-Jacobi-Bellman equation
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