Optimal investment and reinsurance to maximize the probability of drawup before drawdown

DOI10.1007/s11009-024-10096-9MaRDI QIDQ6620479

Jingchao Li, Jie-Ming Zhou, Yingchun Deng, Yakun Liu

Publication date: 16 October 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

Euler methodreinsuranceoptimal investmentdynamic programming principleBrownian risk model

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Brownian motion (60J65) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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