Asymptotic optimal investment under interest rate for a class of subexponential distributions

DOI10.1080/03461238.2012.756829zbMath1401.91133OpenAlexW2129674603MaRDI QIDQ4576874

Julia Eisenberg

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2012.756829

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationsubexponential distributionsruin probability

Mathematics Subject Classification ID

Related Items (1)

Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process

Cites Work

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