Minimizing expected time to reach a given capital level before ruin

DOI10.3934/jimo.2017018zbMath1373.93381OpenAlexW2559932872MaRDI QIDQ2411162

Xiaoqing Liang, Lihua Bai

Publication date: 20 October 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2017018

zbMATH Keywords

ruinHamilton-Jacobi-Bellman equationoptimal strategyinvestmentproportional reinsurancefirst hitting time

Mathematics Subject Classification ID

Related Items (2)

Optimal investment and risk control problems with delay for an insurer in defaultable market ⋮ Robust optimal reinsurance in minimizing the penalized expected time to reach a goal

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