Minimizing Upper Bound of Ruin Probability Under Discrete Risk Model with Markov Chain Interest Rate
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Publication:5259095
DOI10.1080/03610926.2013.771748zbMath1338.60184OpenAlexW2002217335MaRDI QIDQ5259095
Zhu Dongjin, Zhou Yanru, Xu Lin
Publication date: 24 June 2015
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.771748
martingalesMarkov chainruin probabilityinterest ratestochastic returnoptimal investmentdiscrete risk model
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- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Optimal investment for insurers
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