A pair of optimal reinsurance-investment strategies in the two-sided exit framework
David Landriault, Bin Li, Danping Li, Dongchen Li
| 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
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| Subject: | Optimal reinsurance-investment problem | Two-sided exit framework | Hamilton-Jacobi-Bellman (HJB) equation | Legendre transform | Ruin probability |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011630846