Minimizing expected time to reach a given capital level before ruin (Q2411162)

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Minimizing expected time to reach a given capital level before ruin
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    title
    Minimizing expected time to reach a given capital level before ruin (English)
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    DOI
    10.3934/jimo.2017018
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    author
    Xiaoqing Liang
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    Lihua Bai
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    publication date
    20 October 2017
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    Mathematics Subject Classification ID
    93E20
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    91B30
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    91B70
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    91G80
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    zbMATH DE Number
    6794125
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    zbMATH Keywords
    first hitting time
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    ruin
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    investment
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    proportional reinsurance
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    Hamilton-Jacobi-Bellman equation
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    optimal strategy
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    OpenAlex ID
    W2559932872
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    cites work
    Aspects of risk theory
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