Optimal Investment in a Dual Risk Model
نویسندگان
چکیده
Dual risk models are popular for modeling a venture capital or high-tech company, which the running cost is deterministic and profits arrive stochastically over time. Most of existing literature on dual concentrates optimal dividend strategies. In this paper, we propose to study investment strategy research development minimize ruin probability underlying company. We will also optimization problem when, in addition, risky asset allowed.
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ژورنال
عنوان ژورنال: Risks
سال: 2023
ISSN: ['2227-9091']
DOI: https://doi.org/10.3390/risks11020041