Optimal investment-reinsurance policy for an insurance company with VaR constraint (Q661229)
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scientific article; zbMATH DE number 6004742
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| English | Optimal investment-reinsurance policy for an insurance company with VaR constraint |
scientific article; zbMATH DE number 6004742 |
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Optimal investment-reinsurance policy for an insurance company with VaR constraint (English)
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10 February 2012
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investment
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reinsurance
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ruin probability
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value-at-risk
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HJB equation
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Lagrangian method
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0.942460000514984
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0.8748366236686707
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0.8737253546714783
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0.868049681186676
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