On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability (Q5430576)
From MaRDI portal
scientific article; zbMATH DE number 5220301
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability |
scientific article; zbMATH DE number 5220301 |
Statements
On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability (English)
0 references
16 December 2007
0 references
reinsurance
0 references
investment
0 references
Markov decision process
0 references
optimal control theory
0 references
Cramér-Lundberg model
0 references
dynamic programming
0 references
ruin probability
0 references
Howard improvement
0 references
verification theorem
0 references
0 references
0 references
