Optimal proportional reinsurance and investment with minimum probability of ruin (Q426584)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal proportional reinsurance and investment with minimum probability of ruin |
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Optimal proportional reinsurance and investment with minimum probability of ruin (English)
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11 June 2012
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The authors minimize the probability of ruin in a model in which surplus process includes reinsurance and investment and follows Brownian dynamics. The reinsurance is proportional and investment is in a risk-free asset and in a risky asset. The authors solve the corresponding Hamilton-Jacobi-Bellman equations and derive optimal reinsurance-investment strategy.
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surplus process
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proportional reinsurance
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Hamilton-Jacobi-Bellman equation
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optimal reinsurance-investment strategy
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