Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
Abstract 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–Be...
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| Main Authors: | , , |
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| Format: | Artigo |
| Language: | Inglês |
| Published: |
SpringerOpen
2018-09-01
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| Series: | Journal of Inequalities and Applications |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13660-018-1838-0 |
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