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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2018
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| Materias: | |
| 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 |