A pair of optimal reinsurance-investment strategies in the two-sided exit framework
Year of publication: |
November 2016
|
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Authors: | Landriault, David ; Li, Bin ; Li, Danping ; Li, Dongchen |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 284-294
|
Subject: | Optimal reinsurance-investment problem | Two-sided exit framework | Hamilton-Jacobi-Bellman (HJB) equation | Legendre transform | Ruin probability | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory |
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