Optimal risk control for a large corporation in the presence of returns on investments
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Publication:5957684
DOI10.1007/PL00000042zbMath1049.93090MaRDI QIDQ5957684
Bjarne Højgaard, Michael I. Taksar
Publication date: 13 March 2002
Published in: Finance and Stochastics (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equationstochastic control theorysingular controldiffusion modelsdividend pay-outproportional reinsurance
Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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