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We consider a risk process modelled as a compound Poisson process. The ruin probability of this risk process is minimized by the choice of a suitable investment strategy for a capital market index. ...
Persistent link: https://www.econbiz.de/10005845999
An optimal control problem is considered where a risky asset is used for investment and this investment is ...nanced by initial wealth as well as by a state dependent income. The objektive function is accumulated discounted aspected utility of the wealth, where the utility function is increasing...
Persistent link: https://www.econbiz.de/10005846358