On optimal investment and subexponential claims

Insurance: Mathematics and Economics

Volumn 36, Issue 1, 2005, Pages 25-35

  Schmidli, Hanspeter ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Geometric Brownian motion; Hamilton Jacobi Bellman equation; Optimal control; Regular variation; Ruin probability; Subexponential claims

Indexed keywords

EID: 13844256601     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.09.002     Document Type: Article

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