Betting Systems Which Minimize the Probability of Ruin
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Publication:5510377
DOI10.1137/0113051zbMath0136.14401OpenAlexW1986973742MaRDI QIDQ5510377
Publication date: 1965
Published in: Journal of the Society for Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0113051
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Optimal investment and reinsurance of insurers with lognormal stochastic factor model ⋮ Worst-case-optimal dynamic reinsurance for large claims ⋮ Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model ⋮ Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection ⋮ On optimal proportional reinsurance and investment in a Markovian regime-switching economy ⋮ Proportional reinsurance and investment in multiple risky assets under borrowing constraint ⋮ An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments ⋮ A class of non-zero-sum stochastic differential investment and reinsurance games ⋮ Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint ⋮ Growth-security profiles in capital accumulation under risk ⋮ How one gambles if one must: Effects of differing return rates on multistage betting decisions ⋮ The Action Gambler and Equal-Sized Wagering ⋮ An optimal investment strategy with maximal risk aversion and its ruin probability ⋮ Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach ⋮ Gambling behaviour in two-outcome multistage betting games
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