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~person:"Azcue, Pablo"
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Compound Poisson process
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Hamilton–Jacobi–Bellman equation
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Azcue, Pablo
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Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
Azcue, Pablo
;
Muler, Nora
- In:
Computational Statistics
77
(
2013
)
2
,
pp. 177-206
claim amount follows a
compound
Poisson
process. Our goal is to minimize the ruin probability of the company assuming that …
Persistent link: https://www.econbiz.de/10010847475
Saved in:
2
Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
Azcue, Pablo
;
Muler, Nora
- In:
Mathematical Methods of Operations Research
77
(
2013
)
2
,
pp. 177-206
claim amount follows a
compound
Poisson
process. Our goal is to minimize the ruin probability of the company assuming that …
Persistent link: https://www.econbiz.de/10010999524
Saved in:
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