On minimizing the ruin probability by investment and reinsurance

Annals of Applied Probability

Volumn 12, Issue 3, 2002, Pages 890-907

  Schmidli, Hanspeter ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Black Scholes model; Hamilton Jacobi Bellman equation; Optimal control; Reinsurance; Ruin probability; Stochastic control

Indexed keywords

EID: 0036392392     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1031863173     Document Type: Article

References (11)

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