Minimizing ruin probability under the Sparre Anderson model

DOI10.1080/03610926.2021.1931887OpenAlexW3172071541MaRDI QIDQ5079885

Linlin Tian, Lihua Bai

Publication date: 30 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.08124

zbMATH Keywords

viscosity solutionoptimal reinsurance policyminimizing ruin probabilitythe Sparre Andersen model

Mathematics Subject Classification ID

Statistics (62-XX) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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