Maximization of the Survival Probability by Franchise and Deductible Amounts in the Classical Risk Model

DOI10.1007/978-3-319-03512-3_16zbMath1331.91102OpenAlexW344284263MaRDI QIDQ2946097

Olena Ragulina

Publication date: 16 September 2015

Published in: Modern Stochastics and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-03512-3_16

zbMATH Keywords

Hamilton-Jacobi-Bellman equationruin probabilityoptimal deductibleoptimal franchise

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic processes (60G99)

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