Optimal reinsurance and investment problems to minimize the probability of drawdown
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Publication:6574089
DOI10.3934/JIMO.2024047MaRDI QIDQ6574089FDOQ6574089
Publication date: 18 July 2024
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
diffusion approximationstochastic optimal controloptimal investmentoptimal reinsuranceprobability of drawdown
Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91Gxx)
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