Optimal investment-reinsurance policy for an insurance company with VaR constraint (Q661229): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.06.002 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2025582260 / rank | |||
Normal rank | |||
Revision as of 20:52, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment-reinsurance policy for an insurance company with VaR constraint |
scientific article |
Statements
Optimal investment-reinsurance policy for an insurance company with VaR constraint (English)
0 references
10 February 2012
0 references
investment
0 references
reinsurance
0 references
ruin probability
0 references
value-at-risk
0 references
HJB equation
0 references
Lagrangian method
0 references
