Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
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Publication:2076360
DOI10.3934/jimo.2021003zbMath1499.91103OpenAlexW3116487098MaRDI QIDQ2076360
Xia Han, Zhibin Liang, Y. Yuan
Publication date: 16 February 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2021003
stochastic optimal controlproportional reinsuranceoptimal investmentprobability of drawdownborrowing constraintcommon shock dependence
Related Items (6)
Maximizing the goal-reaching probability before drawdown with borrowing constraint ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables ⋮ Unnamed Item ⋮ Robust optimal reinsurance in minimizing the penalized expected time to reach a goal ⋮ Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
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