Ruin probabilities under an optimal investment and proportional reinsurance policy in a jump diffusion risk process (Q3564628)
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scientific article; zbMATH DE number 5712158
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| English | Ruin probabilities under an optimal investment and proportional reinsurance policy in a jump diffusion risk process |
scientific article; zbMATH DE number 5712158 |
Statements
RUIN PROBABILITIES UNDER AN OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE POLICY IN A JUMP DIFFUSION RISK PROCESS (English)
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26 May 2010
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ruin probability
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proportional reinsurance
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optimal investment policy
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Lundberg's equality
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Hamilton-Jacobi-Bellman equation
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0.9037753343582152
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0.9018450975418092
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0.8897794485092163
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0.8844702243804932
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