An optimization approach to adaptive multi-dimensional capital management
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Publication:1757615
DOI10.1016/j.insmatheco.2018.10.001zbMath1419.91355arXiv1812.08435MaRDI QIDQ1757615
P. J. C. Spreij, G. A. Delsing, Erik M. M. Winands, M. R. H. Mandjes
Publication date: 15 January 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.08435
Bayesian statistics; ruin probability; optimal allocation; insurance risk; multi-dimensional risk process
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
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