Control of ruin probabilities by discrete-time investments

Mathematical Methods of Operations Research

Volumn 62, Issue 1, 2005, Pages 141-158

  Schäl, Manfred ^a  

^a UNIVERSITY OF BONN   (Germany)

Author keywords

Dynamic programming; Financial market; Markov decision processes; Optimal control; Optimal investment; Ruin probability

Indexed keywords

FINANCIAL MARKET; MARKOV DECISION PROCESSES; OPTIMAL CONTROL; OPTIMAL INVESTMENT; RUIN PROBABILITY;

DYNAMIC PROGRAMMING; INSURANCE; MATHEMATICAL MODELS; POISSON DISTRIBUTION; PROBABILITY; PROBLEM SOLVING;

DISCRETE TIME CONTROL SYSTEMS;

EID: 24344481692     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-005-0445-2     Document Type: Conference Paper

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