Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints

DOI10.1016/j.insmatheco.2008.09.006zbMath1156.91391OpenAlexW2050456151MaRDI QIDQ1003812

Nora Muler, Pablo Azcue

Publication date: 4 March 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.09.006

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinsuranceportfolio optimizationruin probabilityborrowing constraintsCramér-Lundberg process

Mathematics Subject Classification ID

Related Items (29)

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