Dividends and reinsurance under a penalty for ruin

DOI10.1016/j.insmatheco.2012.02.005zbMath1236.91086MaRDI QIDQ414614

Virginia R. Young, Zhibin Liang

Publication date: 11 May 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.005

zbMATH Keywords

ruin; stochastic optimal control; optimal reinsurance; Legendre dual; optimal dividends

Mathematics Subject Classification ID

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