On reinsurance and investment for large insurance portfolios
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Publication:939386
DOI10.1016/J.INSMATHECO.2007.04.002zbMath1141.91532OpenAlexW1968457222MaRDI QIDQ939386
Shangzhen Luo, Michael I. Taksar, Allanus H. Tsoi
Publication date: 22 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.04.002
Hamilton-Jacobi-Bellman equationstochastic controlBlack-Scholes modelruin probabilityproportional reinsurance
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