Optimal investment for insurers
From MaRDI portal
Publication:5942779
DOI10.1016/S0167-6687(00)00049-4zbMath1007.91025MaRDI QIDQ5942779
Publication date: 4 December 2002
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
ruin probability; investment; Bellman's equation; compound Poisson process; geometric Brownian motion; stochastic control theory
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