On absolute ruin minimization under a diffusion approximation model

DOI10.1016/j.insmatheco.2010.10.004zbMath1233.91151MaRDI QIDQ2276211

Shangzhen Luo, Michael I. Taksar

Publication date: 1 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.10.004

zbMATH Keywords

diffusion approximation; HJB equation; proportional reinsurance; absolute ruin probability; dynamic investment control

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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