On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability (Q5430576)
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scientific article; zbMATH DE number 5220301
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability |
scientific article; zbMATH DE number 5220301 |
Statements
On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability (English)
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16 December 2007
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reinsurance
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investment
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Markov decision process
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optimal control theory
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Cramér-Lundberg model
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dynamic programming
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ruin probability
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Howard improvement
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verification theorem
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