Optimal proportional reinsurance and investment with minimum probability of ruin
From MaRDI portal
Publication:426584
DOI10.1016/j.amc.2011.11.031zbMath1242.91099OpenAlexW2022618210MaRDI QIDQ426584
Publication date: 11 June 2012
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.11.031
Hamilton-Jacobi-Bellman equationproportional reinsuranceoptimal reinsurance-investment strategysurplus process
Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial and insurance mathematics (aspects of mathematics education) (97M30)
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