A pair of optimal reinsurance-investment strategies in the two-sided exit framework (Q2374121)
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scientific article; zbMATH DE number 6663363
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| English | A pair of optimal reinsurance-investment strategies in the two-sided exit framework |
scientific article; zbMATH DE number 6663363 |
Statements
A pair of optimal reinsurance-investment strategies in the two-sided exit framework (English)
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14 December 2016
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optimal reinsurance-investment problem
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two-sided exit framework
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Hamilton-Jacobi-Bellman (HJB) equation
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Legendre transform
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ruin probability
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0.8144643306732178
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0.809008777141571
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0.806014358997345
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0.7992609739303589
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