Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance.

Leonie Violetta Brinker Hanspeter Schmidli

Published in: J. Appl. Probab. (2022)

Keyphrases

dynamic programming
closed form
optimal control
finding optimal
case study
search algorithm
average reward
database
data sets
evolutionary algorithm
np hard
worst case
optimal policy
markov decision processes
long run