Control of ruin probabilities by discrete-time investments

DOI10.1007/s00186-005-0445-2zbMath1101.93087MaRDI QIDQ814889

Manfred Schäl

Publication date: 8 February 2006

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-005-0445-2

zbMATH Keywords

Markov decision processes; Dynamic programming; Optimal control; Ruin probability; Financial market; Optimal investment

Mathematics Subject Classification ID

93E20: Optimal stochastic control

90C40: Markov and semi-Markov decision processes

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