Control of ruin probabilities by discrete-time investments
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Publication:814889
DOI10.1007/s00186-005-0445-2zbMath1101.93087MaRDI QIDQ814889
Publication date: 8 February 2006
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-005-0445-2
Markov decision processes; Dynamic programming; Optimal control; Ruin probability; Financial market; Optimal investment
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