On minimizing the ruin probability by investment and reinsurance

DOI10.1214/aoap/1031863173zbMath1021.60061OpenAlexW2087292112MaRDI QIDQ1872375

Hanspeter Schmidli

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1031863173

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationstochastic controlBlack-Scholes modelruin probabilityreinsurance

Mathematics Subject Classification ID

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