Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
type: Item
instance of: scholarly article
title: Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
zbMATH Open document ID: 1499.91103
author: Zhibin Liang
author: Xia Han
author: Y. Yuan
published in: Journal of Industrial and Management Optimization
publication date: 2022-02-16T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7475152
zbMATH Keywords: optimal investment
zbMATH Keywords: proportional reinsurance
zbMATH Keywords: common shock dependence
zbMATH Keywords: borrowing constraint
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: probability of drawdown
MaRDI profile type: Publication
full work available at URL: jimo.2021003
OpenAlex ID: W3116487098
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DOI: 10.3934/JIMO.2021003
description: scientific article; zbMATH DE number 7475152