Optimal investment with multiple risky assets for an insurer with modified periodic risk process

DOI10.1007/s11424-014-2176-zzbMath1372.91099OpenAlexW1998302853MaRDI QIDQ498092

Hui Zhao, Xi-Min Rong

Publication date: 25 September 2015

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-014-2176-z

zbMATH Keywords

ruin probabilityadjustment coefficientoptimal investmentmultiple risky assetsmodified periodic risk model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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