کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4631370 | 1340621 | 2012 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal proportional reinsurance and investment with minimum probability of ruin
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Optimal proportional reinsurance and investment with minimum probability of ruin Optimal proportional reinsurance and investment with minimum probability of ruin](/preview/png/4631370.png)
چکیده انگلیسی
The paper concerns a problem of optimal reinsurance and investment in order to minimizing the probability of ruin. In the whole paper, the cedent’s surplus is allowed to invest in a risk-free asset and a risky asset and the company’s risk is reduced through proportional reinsurance, while in addition the claim process is assumed to follow a Brownian motion with drift. By solving the corresponding Hamilton–Jacobi–Bellman equations, the optimal reinsurance–investment strategy is derived. The presented results generalize those by Taksar [1].
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 218, Issue 9, 1 January 2012, Pages 5433–5438
Journal: Applied Mathematics and Computation - Volume 218, Issue 9, 1 January 2012, Pages 5433–5438
نویسندگان
Cao Yusong, Zeng Xianquan,