Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (Q931183)
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scientific article; zbMATH DE number 5292535
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| English | Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint |
scientific article; zbMATH DE number 5292535 |
Statements
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (English)
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25 June 2008
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exponential utility
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Hamilton-Jacobi-Bellman equation
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optimal strategy
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probability of ruin
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proportional reinsurance
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0.8792453408241272
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0.8760624527931213
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0.869951069355011
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0.8639126420021057
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0.860975444316864
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