Optimal Investment for an Insurer to Minimize Its Probability of Ruin

DOI10.1080/10920277.2004.10596134zbMath1085.60511OpenAlexW1979653978MaRDI QIDQ5715959

Chi Sang Liu, Hailiang Yang

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596134

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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