Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem (Q2392787)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem |
scientific article |
Statements
Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem (English)
0 references
2 August 2013
0 references
ruin probability
0 references
insurance company
0 references
compound Poisson process
0 references
singular control
0 references
Hamilton-Jacobi-Bellman equation
0 references
viscosity solution
0 references
optimal strategy
0 references
0 references
0 references
0 references
