Proportional reinsurance and investment in multiple risky assets under borrowing constraint
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Publication:5117679
DOI10.1080/03461238.2019.1676301zbMath1447.91153OpenAlexW3125159626WikidataQ127020232 ScholiaQ127020232MaRDI QIDQ5117679
Publication date: 26 August 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2019.1676301
Hamilton-Jacobi-Bellman equationruin probabilityportfolio selectionproportional reinsuranceborrowing constraint
Related Items (2)
Minimization of ruin probability with joint strategies of investment and reinsurance ⋮ Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework
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