A pair of optimal reinsurance–investment strategies in the two-sided exit framework
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DOI: 10.1016/j.insmatheco.2016.09.002
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- Landriault, David & Li, Bin & Loke, Sooie-Hoe & Willmot, Gordon E. & Xu, Di, 2017. "A note on the convexity of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 1-6.
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Keywords
Optimal reinsurance–investment problem; Two-sided exit framework; Hamilton–Jacobi–Bellman (HJB) equation; Legendre transform; Ruin probability;All these keywords.
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