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Optimal proportional reinsurance policies for stochastic models - MaRDI portal

Optimal proportional reinsurance policies for stochastic models (Q5216270)

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scientific article; zbMATH DE number 7168078
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English
Optimal proportional reinsurance policies for stochastic models
scientific article; zbMATH DE number 7168078

    Statements

    title
    Optimal proportional reinsurance policies for stochastic models (English)
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    author
    Anouar Houmia
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    Maher Mejai
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    Brahim Benaid
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    Makram Ben Dbabis
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    publication date
    17 February 2020
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    zbMATH Keywords
    proportional reinsurance
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    investment
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    time of ruin
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    stochastic control
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    embedded value
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    Hamilton-Jacobi-Bellman equation
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    cites work

    Identifiers

    zbMATH DE Number
    7168078
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    OpenAlex ID
    W2985137651
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    Wikidata QID
    Q126808322
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