Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
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Publication:1003812
DOI10.1016/j.insmatheco.2008.09.006zbMath1156.91391MaRDI QIDQ1003812
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
Hamilton-Jacobi-Bellman equation; insurance; portfolio optimization; ruin probability; borrowing constraints; Cramér-Lundberg process
60G40: Stopping times; optimal stopping problems; gambling theory
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Cites Work
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