Asymptotics of Ruin Probabilities for Risk Processes under Optimal Reinsurance and Investment Policies: The Large Claim Case.
Hanspeter SchmidliPublished in: Queueing Syst. Theory Appl. (2004)
Keyphrases
- production processes
- decision making
- optimal portfolio
- risk aversion
- risk neutral
- conditional expectation
- investment strategies
- control policy
- portfolio management
- markov chain
- sufficient conditions
- long run
- portfolio selection
- investment decisions
- control policies
- optimal control
- probability distribution
- scheduling policies
- transition probabilities
- process model
- worst case
- optimal solution
- reinforcement learning