Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs (Q2076360)
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scientific article; zbMATH DE number 7475152
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs |
scientific article; zbMATH DE number 7475152 |
Statements
Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs (English)
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16 February 2022
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optimal investment
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proportional reinsurance
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common shock dependence
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borrowing constraint
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stochastic optimal control
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probability of drawdown
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