Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection (Q625791)
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scientific article; zbMATH DE number 5857648
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| English | Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection |
scientific article; zbMATH DE number 5857648 |
Statements
Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection (English)
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25 February 2011
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exponential utility
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Hamilton-Jacobi-Bellman equation
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multiple risky asset investment
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probability of ruin
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excess-of-loss reinsurance
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0.869951069355011
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0.8372896909713745
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0.8265916705131531
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0.8263205289840698
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