Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs (Q2076360)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs |
scientific article |
Statements
Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs (English)
0 references
16 February 2022
0 references
optimal investment
0 references
proportional reinsurance
0 references
common shock dependence
0 references
borrowing constraint
0 references
stochastic optimal control
0 references
probability of drawdown
0 references
0 references
0 references
0 references
0 references
0 references