Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem (Q2392787)
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scientific article; zbMATH DE number 6194406
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| English | Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem |
scientific article; zbMATH DE number 6194406 |
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Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem (English)
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2 August 2013
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ruin probability
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insurance company
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compound Poisson process
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singular control
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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optimal strategy
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0.8408715724945068
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0.8407486081123352
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0.8268418908119202
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0.8203801512718201
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0.8161875605583191
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