Minimization of absolute ruin probability under negative correlation assumption (Q896770)
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scientific article; zbMATH DE number 6520868
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimization of absolute ruin probability under negative correlation assumption |
scientific article; zbMATH DE number 6520868 |
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Minimization of absolute ruin probability under negative correlation assumption (English)
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14 December 2015
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absolute ruin probability
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optimal proportional reinsurance
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optimal investment
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negative correlation
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HJB equation
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0.9140996
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0.89321595
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0.89108485
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0.8855426
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0.8792225
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0.87813056
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