Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance

This paper investigates optimal investment and reinsurance policies for an insurance company under a correlated risk model with common Poisson shocks. The goal of the insurance company is to minimize the ultimate ruin probability. By the dynamic programming principle, the Hamilton–Jacobi–Bellman (HJ...

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Detalles Bibliográficos
Autores principales: Xu, Lin, Wang, Minghan, Zhang, Bin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2018
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6154047/
https://www.ncbi.nlm.nih.gov/pubmed/30839678
http://dx.doi.org/10.1186/s13660-018-1838-0

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6154047/
https://www.ncbi.nlm.nih.gov/pubmed/30839678
http://dx.doi.org/10.1186/s13660-018-1838-0

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