Optimal control of risk exposure, reinsurance and investments for insurance portfolios (Q1888891)
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scientific article; zbMATH DE number 2119628
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal control of risk exposure, reinsurance and investments for insurance portfolios |
scientific article; zbMATH DE number 2119628 |
Statements
Optimal control of risk exposure, reinsurance and investments for insurance portfolios (English)
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29 November 2004
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diffusion perturbed risk process
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Hamilton-Jacobi-Bellmann equation
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proportional reinsurance
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excess of loss reinsurance
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investment strategy
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