Optimal constrained investment in the Cramer-Lundberg model
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03461238.2012.699001
Reference17 articles.
1. Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
2. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
3. Optimal investment for insurers
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