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Bayesian Dividend Optimization and Finite Time Ruin Probabilities - MaRDI portal

Bayesian Dividend Optimization and Finite Time Ruin Probabilities (Q4981823)

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scientific article; zbMATH DE number 6308329
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English
Bayesian Dividend Optimization and Finite Time Ruin Probabilities
scientific article; zbMATH DE number 6308329

    Statements

    title
    Bayesian Dividend Optimization and Finite Time Ruin Probabilities (English)
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    author
    Gunther Leobacher
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    Michaela Szölgyenyi
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    Stefan Thonhauser
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    publication date
    25 June 2014
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    zbMATH Keywords
    dividend maximization
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    filtering theory
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    finite-time ruin probability
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    stochastic optimal control
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    viscosity solutions
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    cites work
    Q5434181
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    Q4135799
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    Identifiers

    Mathematics Subject Classification ID
    91G50
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    91B30
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    60J70
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    49L20
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    93E11
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    93E20
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    91G60
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    zbMATH DE Number
    6308329
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    OpenAlex ID
    W3104502663
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    arXiv ID
    1602.04660
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