Minimizing expected time to reach a given capital level before ruin (Q2411162)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimizing expected time to reach a given capital level before ruin |
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Minimizing expected time to reach a given capital level before ruin (English)
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20 October 2017
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first hitting time
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ruin
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investment
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proportional reinsurance
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Hamilton-Jacobi-Bellman equation
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optimal strategy
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