Minimization of absolute ruin probability under negative correlation assumption

DOI10.1016/j.insmatheco.2015.10.003zbMath1348.91166OpenAlexW2191249039MaRDI QIDQ896770

Zongxia Liang, Mingsi Long

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.003

zbMATH Keywords

HJB equationoptimal investmentoptimal proportional reinsurancenegative correlationabsolute ruin probability

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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Optimal reinsurance-investment problem with dependent risks based on Legendre transform, Minimizing the probability of absolute ruin under ambiguity aversion

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