RUIN PROBABILITIES UNDER AN OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE POLICY IN A JUMP DIFFUSION RISK PROCESS
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Publication:3564628
DOI10.1017/S144618110900042XzbMath1189.91082OpenAlexW2152522597MaRDI QIDQ3564628
Publication date: 26 May 2010
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s144618110900042x
Hamilton-Jacobi-Bellman equationruin probabilityproportional reinsuranceoptimal investment policyLundberg's equality
Related Items (2)
Optimal investment-reinsurance strategy in the correlated insurance and financial markets ⋮ OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL
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