Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance (Q1644203)
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scientific article; zbMATH DE number 6892621
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| English | Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance |
scientific article; zbMATH DE number 6892621 |
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Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance (English)
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21 June 2018
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probability of ruin
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optimal investment
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optimal reinsurance
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transaction costs
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stochastic control
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0.8979870676994324
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0.8968189358711243
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0.88816899061203
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0.8667253851890564
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