Minimization of absolute ruin probability under negative correlation assumption
type: Item
instance of: scholarly article
title: Minimization of absolute ruin probability under negative correlation assumption
zbMATH Open document ID: 1348.91166
author: Zongxia Liang
author: Mingsi Long
published in: Insurance Mathematics \& Economics
publication date: 2015-12-14T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6520868
zbMATH Keywords: absolute ruin probability
zbMATH Keywords: optimal proportional reinsurance
zbMATH Keywords: optimal investment
zbMATH Keywords: negative correlation
zbMATH Keywords: HJB equation
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2015.10.003
OpenAlex ID: W2191249039
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DOI: 10.1016/J.INSMATHECO.2015.10.003
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description: scientific article; zbMATH DE number 6520868