Optimal investment and reinsurance to reach a bequest goal with random time solvency regulation-Reference-Cited by-同舟云学术

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Optimal investment and reinsurance to reach a bequest goal with random time solvency regulation

Published:2024-04-18 Issue: Volume: Page:1-13
ISSN:0020-7179
Container-title:International Journal of Control
language:en
Short-container-title:International Journal of Control

Author:

Xu Lin¹,Fan Kun²,Wang Minghan¹,Yao Dingjun³

Affiliation:

1. School of Mathematics and Statistics, Anhui Normal University, Wuhu, People's Republic of China

2. School of Statistics, East China Normal University, Shanghai, People's Republic of China

3. School of Finance, Nanjing University of Finance and Economics, Nanjing, People's Republic of China

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207179.2024.2338909

Reference38 articles.

1. Minimizing the expected lifetime spent in drawdown under proportional consumption

2. Optimal investment to minimize the probability of drawdown;Angoshtari B.;Insurance: Mathematics and Economics,2016

3. Convergence of approximation schemes for fully nonlinear second order equations

4. Proving regularity of the minimal probability of ruin via a game of stopping and control

5. Optimally investing to reach a bequest goal

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